保險公司對殖利率曲線移動的免疫策略Immunization of Yield Curve Shift Risks forInsurance Companies

摘要
本篇文章首先展示傳統的利率變動免疫策略並無法排除殖利率曲線變動的風險，進而提出目標規劃法來控制殖利率曲線變動的風險。在和傳統(Tzeng et al., 2000)的利率變動免疫策略所用的方法比較之後，本文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。
關鍵字：資產負債管理、免疫策略、殖利率曲線變動
Abstract
This paper illustrates how the currently used immunization strategy fails to protect the surplus of an insurance company against yield curve shift risks. Using goal programming, we propose a new method of immunization. The results of our simulation clearly illustrate how, compared to the traditional immunization strategy, (Tzeng et al., 2000), the goal programming approach proposed herein, significantly reduces the risks of yield curve shifts against an insurance company’s surplus.
Keywords: asset and liability management, immunization strategy, yield curve shift