摘要
允许保险资金在资本市场上进行投资的前提下,以终期财富最大化为目标,通过VaR进行风险测度,以原保险公司最大风险量为限制条件,研究两种保险业务风险相互独立和风险相依两种情况下的比例再保险的最优投资策略。通过对比研究发现:终期财富和最优自留比例由最大风险量、承保和投资组合收益的均值与方差共同决定;最优自留比例的大小可以为保费准则选择提供决策依据;相较于风险相互独立情况,由共同影响因子引起的索赔次数将影响风险相依的两种业务的最优自留比例。
In this paper, by the limitation of maximum risk measured by VaR, the optimal proportional reinsurance policy of an insurance company in the case of two risk independent businesses and two risk dependent businesses is discussed, with the allowance of insurance company to invest in capital market. It is concluded that the terminal wealth and the optimal retention ratio are relevant to the maximum risk, the mean value, and the variance of rate of return of underwriting and investment portfolio, and insurers can make a choice of premium principle by comparing the retention ratio. Compared to the risk independent case, the optimal retention ration of risk dependent case will be relevant to the number of claim of compensation caused by a common effect.
作者
王新槐
顾孟迪
WANG Xinhuai , GU Mengdi(Antai College of Economics ＆ Management, Shanghai Jiao Tong University, Shanghai 200030, Chin)
出处
《系统管理学报》
CSSCI
CSCD
北大核心
2018年第2期230-234,共5页
Journal of Systems & Management
关键词
最优再保险
投资策略
VAR
风险相依
保险公司
premium principle
proportional reinsurance
value at risk （VaR）
dependent risk
