保险资金投资模型及其Markov链模拟  

Insurance funds' investment model and its Markov chain simulation

作　　者：张小茜[1,2] 

机构地区：[1]浙江大学民营经济研究中心 [2]浙江大学经济学院,杭州310027

出　　处：《系统工程理论与实践》2009年第6期86-93,共8页Systems Engineering-Theory & Practice

基　　金：国家社会科学基金(05CJY006);浙江省科技计划(2008C25012);浙江大学曙光计划

摘　　要：针对保险资金投资的特殊性建立了投资决策的动态模型,并利用近似Markov链计算了数值解.与经典的Merton模型不同,保险资金投于风险证券的量仅在增资区域中随财富而递增,在控制区域内不会显著增加,甚至反而可能递减.最后就降息、保险资金现金流与风险证券的相关性、保险公司业绩对最优投资策略的影响进行了敏感性分析.Insurance founds have stochastic cash flows and high security requirements. Considering these particularities, a dynamic investment model is constructed and be solved numerically by the method of an approximate Markov chain. Different from the classic Merton model, the investment on the risk security will increase with the wealth＇s gain only in the increasing region. But in the controlling region, it won＇t enhance observably, it might decrease instead. Finally the impacts of decreasing the riskless interest rate, the relativity between insurance funds and the risk security, and the company＇s achievement are analyzed.

关 键 词：保险资金投资 随机现金流 MARKOV链 HJB方程 

分 类 号：F830.59[经济管理—金融学]