郵政簡易壽險理賠給付模擬與公債組合投資─現金配合策略之建構

Abstract

過去郵政簡易壽險對理賠給付金的運用，並沒有作一個明確有效的規劃， 本研究是將未來七個年度所必須支付的理賠給付金，作一個模擬，並且訂 定以半年為一期( 總計為十四期) 的負債排程，以此負債排程應用現金配 合策略建構一個公債投資組合，在十個建構模式中找尋成本最小，風險最 低的公債投資組合，這是本文所要研究的主題。本研究應用奉獻技術的三 個現金配合策略，也就是單純現金配合技術，可再投資現金配合技術，可 再投資可借入現金配合技術等三種技術，再細分為十個模式，利用作業研 究電腦軟體(SAS OR)，求取各個模式成本最小解，然後選取成本最小的投 資組合模式，再應用情境分析選取風險最低的投資組合。本文實證的結果 在可再投資可借入現金配合技術中的模式C ，是十個模式中成本最小風險 最低的公債投資組合，所獲得的結論與T. Dessa Fabozzi Tom Tong and Yu Zhu 學者認為〞對稱型現金配合策略〞比〞單純現金配合策略〞組合 成本低的看法一致，且和Randall S. Hiller and Christian Schaack 學 者認為〞可再投資可借入現金配合技術〞的組合成本低於〞單純現金配合 策略〞及〞可再投資現金配合技術〞相符合，因此本研究的結果不僅能提 供郵政簡易壽險作理賠給付金的規劃，且支持上述學者的看法。 Postal Simple Life Insurance of Claim Payment has been applying in the past years, which was not specific planning. The research will plan to Claim Payment for seven years, which will simulate a planning and make one Period of semiannual for liability schedule. Cash Matching is structured a Government Bond Portfolio Investment, which is able to look for a lower cost and risk. That is, my primary issue. The research will apply in Dedication Techniques for Cash Matching Strategies. Which are Pure Cash Matching Strategy, Dedication with Cash Reinvestment Strategy and Dedication with Cash Borrowing and Reinvestment Strategy. The strategy details for ten models and applies in software (SAS OR) of Operations Research, which we try to find a lower cost among ten models, and we apply in Scenario Analysis to slect a lower risk Portfolio Investment. The research is positive conclusion, which is Dedication with Cash Borrowing Reinvestment Strategy of model C. We find a lower cost and risk Portfolio Investment among ten models. The result is consistent with T. Dessa Fabozzi Tom Tong and Yu Zhu professors, and they think that it is a lower cost Sym- metric Cash Matching Strategy than Pure Cash Matching Strategy. In addition, the result is also consistent with Randall S. Hiller and Christian Schaack professors, and they think that it is a lower cost Dedication with Cash Borrowing Reinvestment strategy than Pure Cash Matching Strategy and Dedication with Cash Reinvestment Strategy. Therefore, the conclusion is not only applied in plan Postal Simple Life Insurance of Claim Payment but also support above conclusion of professors.