| Summary: | 博士 === 國立臺灣大學 === 財務金融學研究所 === 95 === 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.
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