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保險公司在風(fēng)險相依模型中均值-方差準(zhǔn)則下的最優(yōu)投資策略

發(fā)布時間:2018-08-11 10:00
【摘要】:研究了具有兩個業(yè)務(wù)部門的保險公司的最優(yōu)投資問題,其中每個業(yè)務(wù)部門的盈余過程由二維的Lévy過程描述。保險公司可將其盈余投資于金融市場,其中金融市場由一個無風(fēng)險資產(chǎn)和兩個具有風(fēng)險相關(guān)性的風(fēng)險資產(chǎn)組成,而且風(fēng)險資產(chǎn)的價格過程由二維的Lévy過程所驅(qū)動。文中討論了兩個優(yōu)化問題。一個是基準(zhǔn)問題,即選擇適當(dāng)?shù)耐顿Y策略使保險公司的終端財富與一個基準(zhǔn)值之差的平方期望最小;另一個是均值-方差(M-V)問題,即在保險公司終端財富給定的情形下,選擇適當(dāng)?shù)耐顿Y策略使終端財富的方差最小。利用動態(tài)規(guī)劃的方法,得到第一個優(yōu)化問題的最優(yōu)投資策略和最優(yōu)值函數(shù)的解析式。結(jié)合第一個優(yōu)化問題的結(jié)果,利用對偶定理得到第二個優(yōu)化問題的最優(yōu)投資策略和有效前沿。
[Abstract]:The optimal investment problem of insurance companies with two business units is studied, in which the earnings process of each business sector is described by a two-dimensional L 茅 vy process. Insurance companies can invest their earnings in financial markets, in which the financial market consists of a risk-free asset and two riskless risk assets, and the price process of the risky assets is driven by the two-dimensional L 茅 vy process. Two optimization problems are discussed in this paper. One is the benchmark problem, that is, choosing the appropriate investment strategy to minimize the square expectation of the difference between the terminal wealth of the insurance company and a benchmark value; the other is the mean-variance (M-V) problem, that is, when the insurance company's terminal wealth is given, Choose the appropriate investment strategy to minimize the variance of terminal wealth. The optimal investment strategy and optimal value function of the first optimization problem are obtained by using the dynamic programming method. Combined with the results of the first optimization problem, the optimal investment strategy and efficient frontier of the second optimization problem are obtained by using the duality theorem.
【作者單位】: 中山大學(xué)數(shù)學(xué)與計算科學(xué)學(xué)院;廣東工業(yè)大學(xué)應(yīng)用數(shù)學(xué)學(xué)院;中山大學(xué)金融工程與風(fēng)險管理研究中心;
【基金】:國家自然科學(xué)基金資助項目(71201173,71231008) 珠江學(xué)者支持計劃資助項目 廣東省高層次人才資助項目
【分類號】:F842.3;O212.1

【參考文獻(xiàn)】

相關(guān)期刊論文 前2條

1 張明善;姚s,

本文編號:2176662


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