基于VaR和RAROC的保险基金最优投资研究  

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

作　　者：陈学华[1] 韩兆洲[1] 唐珂[2] 

机构地区：[1]暨南大学经济学院 [2]太平洋保险广州分公司

出　　处：《数量经济技术经济研究》2006年第4期111-117,共7页Journal of Quantitative & Technological Economics

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.

关 键 词：承保风险 保险基金 投资 VAR RAROC 

分 类 号：F840[经济管理—保险]