摘要
以保险公司经营3类经济业务为例,研究共同冲击(common shock)型相依多险种模型的扩散逼近与最优投资问题.首先,通过模型转换,证明了此类相依风险模型可扩散逼近为漂移Brown运动,从而获得了累积索赔的近似分布.然后,根据所得结果,利用条件在险价值(CVaR)控制整体风险(索赔风险和投资风险)并同时考虑保险基金的监管因素,研究最大化终期期望财富的最优投资问题.利用约束最优化原理,得到了最优策略的显式表达式.在当前险种多元化并彼此关联的背景下,以期为保险公司估计和控制风险提供一些参考.
To derive the diffusion approximation of a multi-insurance risk model with dependence introduced by common shocks,and to study the problem of optimal investment,in the case of three for example. Firstly,by model transforming,it is showed that the given dependent risk model can be approximated by a Brownian motion with drift,and thus the approximate distribution of the aggregated claim is obtained.Then,according to the resulted distribution,the optimal investment problem of maximizing the expected terminal wealth is studied,under the constraint of CVaR which measures the integrated risks consisting of claim risks and investment risks and the constraint of supervision of insurance investment.The explicit expressions of optimal strategies are derived by the constrained maximization principle. It is expected to provide some references for an insurer to estimate and control risks in the context of insurance diversification and association.
出处
《云南大学学报（自然科学版）》
CAS
CSCD
北大核心
2016年第3期362-368,共7页
Journal of Yunnan University(Natural Sciences Edition)
基金
国家自然科学基金(11171221)
安徽省高校人文社会科学重点研究项目(SK2015A563)
安徽省高等学校自然科学研究项目(KJ2014B18)
关键词
相依多险种
扩散逼近
条件在险价值
最优投资
监管约束
dependent multi-insurance
diffusion approximation
CVaR
optimal investment
constraint of supervision
