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1,彭大衡2.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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王海燕1,彭大衡2 (1.广东商学院 数学与计算科学学院2.广东商学院 金融学院广州 510320) 
中文摘要: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.
中文关键词: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
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 -investment problem in Black -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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