摘要
对保险资金进行资产配置时,必须考虑其负债约束的特点。其主要的解决方法是以盈余收益率的均值及其方差为研究对象,确定有效边界及最优资产配置结构。通过具体的例子,给出了盈余最优化的解决方案,说明了在引入负债的情况下,盈余最优化所得到的最优资产配置结构不同于未引入负债时的资产配置结构,因而在实践中需要引起注意。
The constraint of liability should be considered when the assets of insurance funds are allo cated. The problem can be solved by focusing on the relationship of surplus return and surplus variance within the framework of surplus optimization. With an example, we provide mathematics solution to the problem of surplus optimization, and also show that the asset allocation with liability constraints is different from asset allocation without liability, which should get attention from practitioners.
出处
《山东工商学院学报》
2007年第1期51-56,共6页
Journal of Shandong Technology and Business University
关键词
负债
盈余最优化
资产配置
liability
surplus optimization
asset allocation
