Surplus Management under a Stochastic Process: Asset Allocation within a State-Security Approach

隨機模式下保險公司盈餘管理：狀態證券資產配置策略

邱嘉洲(CHIA-CHOU CHIU)；李賢源(SHYAN-YUAN LEE)

Surplus management ； Asset allocation ； State contingent claim ； 盈餘管理 ； 資產配置策略 ； 狀態證券

輔仁管理評論

28卷2期（2021 / 05 / 01）

1 - 22

英文

This paper proposes a profile of state contingent claims, embedded in a stochastic interest rate process, for the surplus management of an insurance company as an optimal asset allocation strategy. Proper positions of securities based on interest rate situations can be arranged by a surplus manager to fulfill the liability schedule under the pre-specified solvency ability. By considering each path immunization, this asset allocation modeling could be carried into the ＂multi-period scenarios-based programming model＂. Hence, we develop the strategy to implement the concept of path-immunization for the insurance company. Furthermore, we illustrate the impact of the change of the market current term/volatility structure of asset/liability return on the surplus value, a way how to reallocate assets and a hedging strategy for this insurance company in the market with all the state contingent claims needed.

本文運用隨機利率模式所伴隨之一系列狀態證券，提供此隨機利率模式下最佳的資產配置策略，讓保險公司的盈餘管理者，依利率情境配置適當證券部位，使之能夠維持清償能力且滿足不同時期的現金支出。事實上，本文以一系列衍生性證券提供利率隨機模式下整體性免疫策略，亦即是，每一種情境，皆可對利率風險免疫。若考慮每一種情境免疫需求，則此資產配置模型可轉化為『多期的情境基礎規劃模式』。也就是說，本文經由狀態證券提供實際操作『情境基礎資產配置策略』的方法。另外，本文以衍生性證券為標的闡述『今日市場之即期利率期限結構』變動與『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、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。

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