A Study of the Asset-Liability Management for Non-life Insurance Company-Nonlinear Goal Programming

• Main Authors: Pei-Hsin Ho, 何佩欣
• Other Authors: Sen-Sung Chen
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/55031065486111987294

碩士 === 逢甲大學 === 保險所 === 93 === An insurance company that does not coordinate its decision on assets and liabilities is courting financial disaster or insolvency. Asset-liability management can help it operate not only more steadily but also more profitably. The study is used by the concept of asset-liability management, goal programming, and non-linear goal programming model and analyzed the case study. The purpose of this study is to suggest a model which applies non-linear goal programming to assist a non-life insurance company in making their asset allocation strategies and product mix decisions. It found that (1) in asset allocation, a non-life insurance company investment more liquidity assets; in product mix decisions, raising the proportion of ocean marine insurance and liability insurance which can increase the return of line portfolios. (2) increasing premium flows, insurance companies may face underwriting lines which bring risk, but find more suitable asset and liability portfolio, they can rise portfolio’s return and policyholder’s surplus.