| 再保险-投资的M-V及M-VaR最优策略 |
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| 引用本文： | 王海燕,彭大衡.再保险-投资的M-V及M-VaR最优策略[J].经济数学,2011(3):71-76. |
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| 作者姓名： | 王海燕 彭大衡 |
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| 作者单位： | 广东商学院数学与计算科学学院;广东商学院金融学院 |
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| 基金项目： | 教育部人文社会科学研究一般项目(10YJA630122) |
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| 摘 要： | 考虑保险公司再保险-投资问题在均值-方差(M-V)模型和均值-在险价值(M-VaR)模型下的最优常数再调整策略.在保险公司盈余过程服从扩散过程的假设及多风险资产的Black-Scholes市场条件下,分别得到均值-方差模型和均值-在险价值模型下保险公司再保险-投资问题的最优常数再调整策略及共有效前沿,并就两种模型下的结...
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| 关 键 词： | 再保险-投资 均值-方差模型 均值-在险价值模型 常数再调整策略 |
Optimal Reinsurance -investment Strategies under M -V and M -VaR Models |
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| WANG Hai -yan,PENG Da -heng.Optimal Reinsurance -investment Strategies under M -V and M -VaR Models[J].Mathematics in Economics,2011(3):71-76. |
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| Authors: | WANG Hai -yan PENG Da -heng |
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| Institution: | 1.School of Mathematics & Computational Science,Guangdong University of Business Studies Guangzhou,Guangdong 510320,China;2.School of Finance,Guangdong University of Business Studies,Guangzhou,Guangdong 510320,China) |
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| Abstract: | Optimal constant rebalance strategies under Mean-variance and Mean-VaR models were considered. Under the assumption that claim process of an insurance company follows diffusion process, optimal constant rebalance strategies and the corresponding effective frontier under Mean-variance and Mean-VaR models were obtained, respectively, for reinsurance-in- vestment problem in Blaek-Scholes market with multiple risky assets. The results under Mean-variance and Mean-VaR models were compared with each other. |
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| Keywords: | reinsurance-investment mean-variance model mean-VaR model constant rebalance strategy |
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