保险公司的最优投资策略选择  

Optimal Portfolio Selection of Insurance

作　　者：郭文旌[1,2] 

机构地区：[1]南京大学工程管理学院,江苏南京210093 [2]南京财经大学金融学院,江苏南京210046

出　　处：《数理统计与管理》2010年第1期144-149,共6页Journal of Applied Statistics and Management

基　　金：国家自然科学基金(70573044);江苏省高校哲学社会科学基金(07SJB790013)

摘　　要：保险公司传统的投资模型只允许保险公司在保费收取与赔付之间的时滞范围内投资,即投资期间不收取保费也不允许任何赔付发生。本文研究的模型克服了传统模型的不足,投资期间可以收取保费也可以接受索赔。模型在保证保险公司实现目标收益的条件下,使得公司面临的风险最小。另外在模型中引进一个安全投资比例,即保险公司以此比例的财富用于风险投资是相对安全的。通过求解模型,得到保险公司的最优投资策略和风险最小情况下用于投资的财富的比率,并讨论了保费、索赔对投资的影响;另外还得到保险公司投资组合的有效边界,并讨论了有效边界的动态性质;最后用实际数据对保险公司如何选择安全投资比例、如何分配投资资金进行了模拟。The traditional investment model only allows insurance corporation to invest in the time horizon between premium return and insurance claim, i.e.. no premium return and no insurance claim appear during the investment. The model studied in this paper overcomes the shortcomings of the traditional model and allows insurance corporation to receive premium and to pay claim during the investment, This model minimizes the risk faced by corporation under the condition that the terminal wealth achieve the expected aim. In addition, we introduce a safe investment proportion, with which the insurer will be safe. By solving the model, the optimal investment strategy and the rate between the investment amount and the initial wealth in the case of minimizing risk are derived. The influence of premium, claim on investment is discussed. In addition, the analytical expression of efficient frontier is presented and the dynamic properties of efficient frontier are discussed. Finally, by datum the investment

关 键 词：最优投资策略 破产概率 安全比例 有效边界 

分 类 号：O221.1[理学—运筹学与控制论]