2006-08-012024-05-17https://scholars.lib.ntu.edu.tw/handle/123456789/689816摘要：本篇文章首先展示Tzeng, Wang, and Soo (2000)所提出的利率變動免疫策略並無法排除殖利率曲線變動的風險，本文進而提出目標規劃法來控制殖利率曲線變動的風險。在和Tzeng, Wang, and Soo (2000)所用的方法比較之後，本文嘗試證明目標規劃法在盈餘管理上非常顯著地降低了殖利率曲線變動的風險。<br> Abstract: This paper first demonstrates that the immunization strategy proposed by Tzeng, Wang , and Soo (2000) fails to protect the surplus of an insurance company against yield curve shift risks. Using goal programming, we propose a new method to immunize the risk of yield curve shift. We intend to show that, compared to Tzeng, Wang , and Soo (2000), the goal programming proposed in this paper can significantly reduce the risks of yield curve shifts against an insurance company’s surplus.資產負債管理免疫策略利率曲線變動asset and liability managementimmunization strategyyield curve shift