基于VaR和RAROC的保险基金最优投资研究被引量：19

Research on the Optimization Model of Insurance Funds Investment Based on VaR and RAROC

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摘要本文从保险基金的有效运用所应遵循的安全性、盈利性和流动性的基本原则出发,把VaR、RAROC纳入到保险基金投资的研究中来,建立了一个考虑承保风险、VaR限额约束和追求风险调整的资本收益率最大化的保险基金投资优化模型,并给出了模型的求解方法和计算实例。 This paper extends existing literature on insurance funds investment.In particular,using ValueatRisk as risk measurement and Risk Adjusted Return on Capital (RAROC) as performance evaluation approach,the paper develops a new model of insurance funds investment that considers the underwrite risk,risk constraint and maximizing RAROC.Finally,optimal investment proportion formulas are presented and an illustration is given to show their application.

作者陈学华韩兆洲唐珂

机构地区暨南大学经济学院太平洋保险广州分公司

出处《数量经济技术经济研究》 CSSCI 北大核心 2006年第4期111-117,共7页 Journal of Quantitative & Technological Economics

关键词承保风险保险基金投资 VAR RAROC Underwriting Risk Insurance Funds Investment ValueatRisk RAROC

分类号 F840 [经济管理—保险]

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参考文献13

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