保險公司資產配置準則之分析

The Analysis of Allocation Criteria for Insurance Companies

陳柱銘(Chu-Min Chen)

指導教授 ： 岳夢蘭

國立中央大學/管理學院/財務金融學系/碩士(2008年)

摘要

本文將探討保險公司資產配置的相關議題。延伸過去文獻的模型,考慮保險公司的資產為股票及債券的投資組合,而負債則由分紅保單及保證收益保單所組成。在本文中,我們將透過風險測度、績效測度及
中立測度的組合,搭配形成不同的配置準則。利用這些配置準則，求解資產中股票及債券對各類保單之配置比例,並且分析配置準則在不同保單條件下，及不同期初資本條件下的影響。

關鍵字

風險測度 ； 資本配置 ； 分紅保單 ； 保證收益保單 ； 資產配置測度

並列摘要

This article is about asset allocation for insurance companies. To make extension of previous literatures, the asset is considered as a generalized portfolio composed by stocks and bonds, and the liability is make up by bonus policies and guarantee policies. We set up allocation criteria by risk measure, performance measure, and neutral measure, solve the distribution of assets to each kinds of policies, and analyze the impact of the change in initial surplus and policies conditions.

並列關鍵字

Capital allocation ； Bonus policy ； Guarantee policy ； Allocating measure ； Risk measure

參考文獻

Ballotta L., S. Haberman and Wang N. (2006), “Guarantees in with-profit and unitized with profit life insurance contracts: Fair valuation problem in presence of the default option”, Journal of Risk and Insurance, 73(1), 97–121.

Briys, E. and F. de Varenne (1994), “Life insurance in a contingent claim framework: Pricing and regulatory implications”, The Geneva Papers on Risk and Insurance

Briys, E. and F. de Varenne (1997), “On the risk of life insurance liabilities: Debunking some common pitfalls”, Journal of Risk and Insurance, 64(4), 673–694.

Grosen, A. and P. L. Jørgensen (2002), “Life insurance liabilities at market value: an analysis of insolvency risk, bonus policy, and regulatory intervention rules in

a barrier option framework”, The Journal of Risk and Insurance, 69(1), 63–91.