Abstract

This paper proposes a multi-period scenarios-based programming model for the surplus management of an insurance company, and provides a profile of asset allocation strategy against interest-rate fluctuations. 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. In effect, we provide a complete immunization strategy under a stochastic interest rate environment. Surplus value increases under each scenario while current interest rate level deviates instantaneously. Furthermore, we demonstrate 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.