Immunization of Yield-Curve Shift Risks for Insurance Companies

摘要：

This paper first demonstrates that the immunization strategy proposed by Tzeng, Wang , and Soo 2000 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 show that, compared to Tzeng, Wang , and Soo 2000, the goal programming proposed in this paper can significantly reduce the risks of yield curve shifts against an insurance company’s surplus.

关键词： asset and liability management immunization strategy yield curve shift

作者: Larry Y. Tzeng Vincent Y. Chang

作者单位: Department of Finance National Taiwan University No.1, Sec. 4, Roosevelt Rd., Taipei City 106, Taiwa Department of Finance National Taiwan University

会议类型: 国际会议

会议名称: 2005年中国金融国际年会

会议地点: 昆明

会议语种:英文

页码: 1-21

在线出版日期: 2005-07-05（万方平台首次上网日期，不代表论文的发表时间）