不允许卖空和VaR约束下分红型寿险合同的最优资产配置——基于保险人和被保险人的双重视角  

Optimal Asset Allocation for Participating Contracts under Short-Selling and VaR Constraints--Based on the Dual Perspective of the Insurer and the Insured

作　　者：董迎辉 魏思媛 殷子涵 DONG Yinghui;WEI Siyuan;YIN Zihan(School of Mathematical Sciences,Suzhou University of Science and Technology,Suzhou,215009,China)

机构地区：[1]苏州科技大学数学科学学院,苏州215009

出　　处：《应用概率统计》2023年第2期259-282,共24页Chinese Journal of Applied Probability and Statistics

基　　金：国家自然科学基金项目(批准号:12071335);教育部人文社科研究规划基金项目(批准号:20YJAZH025)资助。

摘　　要：基于保险人和被保险人双重视角出发,研究了在不允许卖空和两个VaR约束下,发行分红型寿险合同的保险人的最优投资问题.该研究对既需在偿二代监管下最大化保险人终端财富的期望效用,又需提供给投保人最低到期保障和分红的保险人具有很好的指导意义.利用对偶控制方法和凹化技巧解决了该优化问题,给出了最优终端财富的封闭解.数值结果显示了从保险人和被保险人双方角度出发所考虑的两个VaR约束比从保险人或被保险人任一方角度出发所考虑的单个VaR约束更能够严格改进经济状态不好时的风险管理,达到降低道德风险的作用.From the dual perspective of the insurer and the insured,we investigate an optimal investment problem with short-selling and two-VaR constraints faced by the insurer who offers participating contracts.This analysis is particularly relevant for an insurance company operating under the Solvency II regulation which aims to maximize the expected utility of the terminal payoff to the insurer,while at the same time being required to provide its policyholders a minimum guaranteed amount and a bonus.We adopt a dual control approach and a concavification technique to solve the problem and derive the representations of the optimal terminal wealth.We also carry out some numerical analysis to show that in contrast to one-VaR constraint that we consider only from the perspective of the insurer or the insured,two-VaR constraint that we consider from the dual perspective can strictly improve the risk management for bad economic states and decrease the moral risk.

关 键 词：分红型寿险 卖空 对偶控制 凹化 两个VaR约束 

分 类 号：F830.59[经济管理—金融学] F224