关于政策约束下保险资金投资组合的若干研究  

Some Studies on the Insurance Capital Portfolio Under Policy Constraints

作　　者：李红 孙德荣[1] 李硕[1] LI Hong;SUN Derong;LI Shuo(College of Mathematics and Data Science,Changji University,Changji 831100,Xinjiang,China)

机构地区：[1]昌吉学院数学与数据科学学院,新疆昌吉831100

出　　处：《江汉大学学报（自然科学版）》2022年第3期5-11,共7页Journal of Jianghan University：Natural Science Edition

基　　金：新疆高校科研计划项目(YJEDU2019Y055,XJEDU2021I205);新疆维吾尔自治区高校本科教育教学研究和改革项目(PT-2020059);昌吉学院教学研究项目(21KCSZ003);昌吉学院大学生创新创业训练计划项目(X202110997111)。

摘　　要：在大类监管政策对投资比例的限制情况下,基于Markowitz模型研究了加入承保因素的保险资金投资分配组合模型,并介绍了该模型的二次规划求解算法,在此基础上着重分析双边投资模型及其对保险资金运用的自由性和有效性的提升等问题。结果表明:双边投资模型在满足一定赔付要求下,大大提升了保险资金配置的自由性,进而提高了保险资金的投资效率。Under the restriction of the investment ratio of major regulatory policies,we studied the investment allocation portfolio model of insurance funds with underwriting factors based on the Markowitz model and introduced the quadratic programming algorithm of the model.On this basis,we focused on analysing the bilateral investment model and the freedom and effectiveness of the use of insurance funds improving.The results show that the bilateral investment model significantly promotes the freedom of insurance fund allocation under specific compensation requirements and further enhances the investment efficiency of insurance funds.

关 键 词：保险资金 最优投资组合 MARKOWITZ模型 大类资产监管 BP神经网络 

分 类 号：F840.48[经济管理—保险]