论文部分内容阅读
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 for insurers allows only insurers to invest within the time lag between premium collection and payment, meaning that no premiums are paid during the investment and no claims are allowed. The model studied in this paper overcomes the shortcomings of the traditional model, can receive premiums during the investment can also accept the claim. The model minimizes the company’s risk while ensuring that insurers achieve their target returns. In addition, a safe investment ratio is introduced into the model, that is, it is relatively safe for insurers to use this proportion of wealth for venture capital. By solving the model, we get the ratio of the optimal investment strategy of insurance company and the wealth for investment in the least risk scenario, and discuss the impact of premiums and claims on investment. In addition, we also get the valid border of the insurance company portfolio and discuss The dynamic nature of the effective frontier; Finally, with the actual data on how to choose the proportion of safe investment in insurance companies, how to allocate investment funds were simulated.