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基于CaR风险测度下的保险投资决择 被引量：3

Optimal investment decision for insurance bounded by CaR
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摘要 用CaR测度保险公司的整体性风险,讨论了在可接受风险水平限制下,保险公司如何选择最大化终期财富的投资策略的问题.利用最优化原理,得到保险公司的最优投资策略和有效边界的显式表达式,接着分析了最优投资策略和有效边界在保费、索赔量以及索赔风险影响下的动态性质,最后用实际数据对保险公司如何选择最优投资策略进行了模拟. The integral risk of insurance company was measured with CaR and the problem of how to select the optimal investment strategies maximizing terminal wealth for insurer was discussed in this paper. By the optimization principle, the explicit expressions of optimal investment strategy and efficient frontier were derived. Then the dynamical properties of optimal investment strategies and efficient frontier affected by pemium, claim size and claim risk were analysized. Finally, the investment procedure is simulated with real data.
作者 郭文旌 闫海峰
机构地区 南京财经大学金融学院
出处 《兰州大学学报（自然科学版）》 CAS CSCD 北大核心 2010年第2期91-97,共7页 Journal of Lanzhou University(Natural Sciences)
基金 国家自然科学基金项目(70871058 70671053 70871104) 清华大学经济管理学院中国保险与风险管理研究中心项目 江苏省高校自然科学基金项目(08KJB110004) 中国博士后科学基金项目(200902507) 教育部人文社会科学研究项目(09YJA790100)
关键词 CAR 保险投资 整体性风险 有效边界 CaR insurance investment integral risk efficient frontier
分类号 O221.1 [理学—运筹学与控制论]
  • 相关文献

参考文献15

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二级参考文献30

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共引文献91

同被引文献45

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  • 7EGAMI M, YOUNG V R. Optimal reinsurance strategy under fixed cost and delay[J]. Stochastic Processes and Their Applications, 2009, 119(3): 1015 - 1034.
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  • 10YANG H L, ZHANG L H. Optimal investment for insurer with jumpdiffusion risk process[J]. Insurance: Mathematics and Economics, 2005, 37(3): 615 - 634.

引证文献3

二级引证文献7

兰州大学学报（自然科学版）
2010年 第2期

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