| Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 97 === The accumulated asset of Taiwan Residence Earthquake Insurance Fund (TREIF) has largely increased in recent years due to the growth of take-up rate in Taiwan. The forecast model used by TREIF, however, focuses only on the management of liability side and simulates the fund asset by static investment strategy. In this paper, we apply dynamic financial analysis (DFA) technique to simulate the accumulated fund value under various customized scenarios. We use CIR model to simulate bond prices and interest rates, and assume that the stochastic process can be applied to our model where we use Geometric Brownian Motion to execute stock simulations. As for the liability model, it is based on Gutenberg-Richter Law and Poisson distribution. According to the simulation results, we suggest TREIF to reduce its cash position but increase the weight on bonds investment, so that the asset can be better allocated.
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