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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 李賢源(Shyan-Yuan Lee) | |
dc.contributor.author | Chia-Chou Chiu | en |
dc.contributor.author | 邱嘉洲 | zh_TW |
dc.date.accessioned | 2021-06-13T02:13:09Z | - |
dc.date.available | 2012-06-15 | |
dc.date.copyright | 2007-06-15 | |
dc.date.issued | 2007 | |
dc.date.submitted | 2007-06-06 | |
dc.identifier.citation | Arrow, K. 1964. The role of securities in the optimal allocation of risk-bearing. The Review of Economic Studies, 31: 91-96.
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dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/30711 | - |
dc.description.abstract | 首先,本文建議多期的情境基礎資產配置策略 (Multi-period Scenarios-based Asset Allocation Strategy;多期SAAS),提供利率隨機環境下最佳的資產配置策略,讓保險公司的盈餘管理者,依不同的利率情境安排現金流入量,使之能夠維持清償能力且滿足不同時期的現金支出;也就是說,多期SAAS使得在每一種情境中,隨著今日殖利率曲線瞬間變動,保險公司的盈餘價值不會減損。又搭配隨機利率模型 (例如 Hull and White, 1990) 所產生的不同情境,探討資產面報酬率變化的重要特質,例如:探討「今日市場之即期利率期限結構」變動對保險公司盈餘價值的影響、保險公司如何重新配置資產、以及保險公司如何進行避險等。
其次,從投資觀點重新詮釋多期SAAS;也就是說,讓保險公司的盈餘管理者投資於無套利隨機利率模式 (例如 Hull and White, 1990) 所伴隨之一系列Arrow-Debreu證券,藉以達成多期SAAS在各個不同時期不同情境所需安排的現金流入量,使之能夠維持清償能力且滿足不同時期的現金支出。對於保險公司所安排的投資策略這部份,本文稱之為Arrow-Debreu模式下資產配置策略 (Asset Allocation Strategy with an Arrow-Debreu Approach)。 最後,鑑於「今日市場之即期利率波動期限結構」在市場上的重要性等同於今日市場之即期利率期限結構,因此進一步探討今日市場之即期利率期限結構與今日市場之即期利率波動期限結構這兩項重要特質對保險公司盈餘管理的影響。本文搭配同時符合這兩項重要特質之無套利隨機利率模型 (例如 Black, Derman, and Toy, 1990),建構多期SAAS及其Arrow-Debreu模式下資產配置策略,並且以情境或Arrow-Debreu證券為基礎闡述今日市場之即期利率期限結構變動或是今日市場之即期利率波動期限結構變動對保險公司盈餘價值的影響,其中內容亦包括:保險公司如何重新配置資產、以及保險公司如何擬定避險策略等等。 | zh_TW |
dc.description.abstract | First, this article suggests a multi-period scenarios-based asset allocation strategy (Multi-period SAAS) for the surplus management of an insurance company, and provides a profile of optimal asset allocation strategy under a stochastic interest rate environment. These strategies based on different interest rate situations can be arranged by a surplus manager to fulfill the obligations of different period under the pre-specified solvency ability. That is: Multi-period SAAS lets surplus value increase under each scenario whenever current interest rate level deviates instantaneously. Furthermore, with a stochastic interest rate model (such as Hull and White, 1990) generating different scenarios, this article demonstrates the important properties of the change of asset return rate, such as the impact of the change of current term structure of interest rates on the surplus value, the way how to reallocate assets and the hedging strategy for the insurance company.
Second, from an investment point of view, this article revisits Multi-period SAAS and considers investing a profile of Arrow-Debreu securities embedded in a no arbitrage stochastic interest rate process (such as Hull and White, 1990) to achieve cashflow arrangement under different period and scenario as suggested by Multi-period SAAS to fulfill the obligations of different period under the pre-specified solvency ability. For this part, we call these investing strategies for the insurance company as an asset allocation strategy with an Arrow-Debreu approach. Finally, due to current volatility term structure of interest rate of equal importance to current term structure of interest rate, this article further investigates the impact of two important properties (i.e. current term structure of interest rate and current volatility term structure of interest rate) on surplus management. By no arbitrage stochastic interest rate model with both properties (such as Black, Derman, and Toy, 1990), this article constructs Multi-period SAAS and it’s asset allocation strategy with an Arrow-Debreu approach, to demonstrate, with scenarios or Arrow-Debreu securities, the impact of change of current/volatility term structure of interest rates on surplus value, including the way how to reallocate assets, the hedging strategy for the insurance company and so on. | en |
dc.description.provenance | Made available in DSpace on 2021-06-13T02:13:09Z (GMT). No. of bitstreams: 1 ntu-96-D89723005-1.pdf: 830514 bytes, checksum: f3949a58f0944ee7968b239afdb67b6f (MD5) Previous issue date: 2007 | en |
dc.description.tableofcontents | 口試委員會審定書 i
誌謝 ii 中文摘要 iii 英文摘要 v 圖目錄 ix 表目錄 x 第一章 研究背景及目的 1 第二章 利率期限結構與利率樹建構 9 2.1 Hull and White (1990, 1994) 三元利率樹的建構 9 2.2 Black, Derman and Toy (1990) 二元利率樹的建構 15 2.3 今日市場之即期利率期限結構與確定性現金流量現值 18 2.4 今日市場之即期利率期限結構與利率水準 18 2.5 今日市場之即期利率期限結構與 Hull and White (1990, 1994) 利率樹 19 2.6 今日市場之即期利率期限結構、波動期限結構與 Black, Derman and Toy (1990) 利率樹 26 第三章 多期的情境基礎資產配置策略 35 3.1 情境產生、分類與利率敏感值 42 3.2 多期的情境基礎規劃策略 44 3.3今日市場之即期利率期限結構與保險公司盈餘管理 45 第四章 Arrow-Debreu模式下資產配置策略 53 4.1 Arrow-Debreu模式下資產配置策略與多期SAAS的關係 56 4.2 Arrow-Debreu模式下資產配置策略及其避險策略 61 4.3零息債券市場與Arrow-Debreu證券市場的投資環境比較 67 第五章 BDT (1990) 利率模式與波動結構 (Volatility Structure) 72 5.1 假設性的保險公司及其盈餘管理 76 5.2 多期SAAS及其Arrow-Debreu模式下資產配置策略 77 5.3 今日市場之即期利率期限結構、波動期限結構與保險公司盈餘管理 79 第六章 結論 88 參考文獻 91 附錄 94-126 | |
dc.language.iso | zh-TW | |
dc.title | 保險公司盈餘管理:利率隨機環境下資產配置策略 | zh_TW |
dc.title | Surplus Management of Insurance Company:
Asset Allocation under a Stochastic Interest Rate Environment | en |
dc.type | Thesis | |
dc.date.schoolyear | 95-2 | |
dc.description.degree | 博士 | |
dc.contributor.oralexamcommittee | 曾郁仁(Larry Yu-Ren Tzeng),蔡偉澎(Wei-Pen Tsai),蔡政憲(Cheng-Hsien Tsai),王儷玲(Jennifer Li-Ling Wang),謝承熹(Cheng-Hsi Hsieh) | |
dc.subject.keyword | 盈餘管理,資產配置,Arrow-Debreu 證券,利率期限結構,利率波動期限結構,多期的情境基礎資產配置策略,Arrow-Debreu模式下資產配置策略, | zh_TW |
dc.subject.keyword | Surplus Management,Asset Allocation,Arrow-Debreu Security,Term Structure of Interest Rate,Volatility Term Structure of Interest Rate,Multi-period Scenarios-based Asset Allocation Strategy,Asset Allocation Strategy with an Arrow-Debreu Approach, | en |
dc.relation.page | 93 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2007-06-06 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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