安全第一准则下最优保险投资策略选择

Optimal Portfolio Selection Bounded by Safety-first Criterion for Insurer

假定保险公司的盈余为Lundberg-Cramér模型,保险投资市场是由一个无风险债券和多个风险证券构成的资本市场.在给定可接受灾难水平下,建立保险公司选择最优投资策略的安全第一准则模型.利用Lagrange乘数法求解多层优化模型,得到了保险公司的最优投资策略和有效边界的解析表达式.并在此基础上分析了累积索赔折现值、承保风险等因素对最优投资策略以及有效边界的影响.最后,用实际数据对保险公司如何分配投资资金进行了模拟.

We assume that the surplus of an insurer follows the compound Poisson risk process and the insurer would invest his wealth in a financial market, which consists of one-free bond and n risky assets. The safety-first criterion is chosen to establish a model under a given disaster level. By Lagrange multiplier method and multi-layer optimization model, the explicit expression of optimal investment strategy and efficient frontier is derived. Then the optimal investment strategies and efficient frontier affected by the discounted value of the cumulative claims and claim risk are analyzed. Finally, the investment procedure is simulated by datum.