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再保险-投资的M -V及M -VaR最优策略
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.
作者姓名:王海燕  彭大衡
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
基金项目:教育部人文社会科学研究一般项目(10YJA630122)
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其有效前沿,并就两种模型下的结果进行了比较.

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
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.
Authors:WANG Hai -yan  PENG Da -heng
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)
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.
Keywords:reinsurance-investment  mean-variance model  mean-VaR model  constant rebalance strategy
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