一种新的保险投资组合优化模型

A New Model for Insurance Portfolio Optimization

抓住了风险的不确定性的本质,利用熵能够度量保险投资组合中的风险和推测风险的概率分布的两大功能,以已有的风险模型为基础,在分析用方差度量风险的不足的基础上,提出用熵作为风险的度量,建立了一种新的均值-方差-熵保险投资组合优化模型.该模型的制定更加合理.

Taking the nature of risk and using the two functions of entropy to measure the risk of the insurance portfolio and confer the probability of risk, the limitations of measuring risk with variance are analyzed based on a model of risk, the limitations of measuring fish with variance are analyzed a measurement method of risk is put forward with entropy, and the new mean-variance-entropy optimization model of insurance portfolio is proposed. The new model is more reasonable.