楊曉文臺灣大學：財務金融學研究所徐蔚婷Hsu, Wei-TingWei-TingHsu2007-11-282018-07-092007-11-282018-07-092007http://ntur.lib.ntu.edu.tw//handle/246246/60646我國自2001年以來利率水準一直處於低檔，因此造成傳統保單保費偏高，保戶購買意願降低，為降低保險公司的風險並吸引消費者，投資型保單、分紅保單、利率變動型商品遂成為保險市場的主流。由於國人對退休規劃意識提高，加上2003年7月四家行庫兩年期定存利率跌至1.48%，使得原本較為保守的定存戶轉而購買利率變動型年金等商品，由此發展趨勢可知，保險公司對於利率變動型年金的風險管理愈來愈重要。 　　本研究欲針對利率變動型商品進行資產負債管理，為降低保險公司經營此商品的風險，我們將資產負債管理的目標訂為股東權益的變異數最小，本文將探討不同宣告利率的設計如何影響資產配置的結果，此外亦針對海外投資上限與最低保證利率進行資產配置的敏感度分析。本文的貢獻在於考慮解約率對負債的影響，並提供保險公司在資產負債管理方面的新思維，可供發行利變型年金的保險公司參考。In the low interest rate environment, traditional insurance policies become more expensive. In order to compete with other financial institutions or to reduce risk, insurers develop new products, such as investment-link policy, participating policies, and floating-rate annuity, to attract investors. We put our emphasis on the floating-rate annuity in this study. Although the motivation for issuing floating-rate annuity is to reduce risk, the high declared interest rate or minimum return guarantee still introduce a serious insolvency problem for insurance companies. In current study, we investigate the asset and liability management for floating-rate annuity and try to find the optimal asset allocation to minimize the volatility of insurer’s equity. Simulation results show the asset allocation under different declared rate policies, guarantee rate , and foreign investment limit. The model can be used to analyze the investment strategy for the insurance companies.1. Introduction 7 1.1 Purpose of the Study 7 1.2 Literature Review 10 2. The Model 14 2.1 Dynamics of Asset Return 14 2.1.1 Stock Price Model 14 2.1.2 Foreign Exchange Rate Model 15 2.1.3 Interest Rate Model 15 2.1.4 Cholesky decomposition 17 2.2 Asset and Liability Model 19 2.2.1 Declared Rate Policy 19 2.2.2 Liability Model 21 2.2.3 Asset Model 22 2.3 Parameter Estimation 22 2.4 The Optimization Model 24 2.5 Simulation Process 25 3. Numerical Results 27 3.1 Asset Allocation for Different Declared Rate Model 27 3.2 Asset Allocation for Different Foreign Investment Limit 31 3.3 Asset Allocation for Different Guarantee Rate 32 4. Conclusion 35 Reference 37778130 bytesapplication/pdfen-US利率變動型年金資產負債管理解約行為Floating-rate AnnuityAsset and Liability ManagementLapse Behaviorthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60646/1/ntu-96-R94723032-1.pdf