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基于RAROC的保险基金投资策略研究
引用本文:王丽珍,李静.基于RAROC的保险基金投资策略研究[J].保险研究,2011(5):96-102.
作者姓名:王丽珍  李静
作者单位:南开大学风险管理与精算系,天津,300071;南开大学金融数学系,天津,300071
基金项目:“中央高校基本科研业务费专项资金资助项目(NKZXA10002)”的资助
摘    要:本文针对当前典型的保险基金投资策略模型的不足,结合当前金融风险管理和金融监管的主流方法,建立了同时考虑保费收取与赔付支出、破产概率、VaR限额的RAROC最大化模型,得到了最优的投资策略.在此基础上进行案例分析,讨论了索赔强度、保费收取率、个体赔付额度等因素的变化对该策略的影响.研究发现,保险公司必须根据承保状况及时调...

关 键 词:在险价值  最优投资策略  风险调整收益  边界有效前沿

Research on insurance fund investment strategy based on RAROC
Wang Li-zhen,Li Jing.Research on insurance fund investment strategy based on RAROC[J].Insurance Studies,2011(5):96-102.
Authors:Wang Li-zhen  Li Jing
Institution:Wang Li-zhen,Li Jing
Abstract:Aimed at the defect of typical investment models for insurance funds,and based on the current mainstream methods of financial risk management and supervision,this paper established a risk-adjusted returns maximization model that took into account premium income,claim payout,bankruptcy probability and VaR limit,and derived the best investment strategy.Then the paper made a case study with further discussion on the impacts of factors such as the claim amount and premium collection rate and size of individual claim on this strategy.The result showed that insurance companies must adjust investment strategy according to their underwriting situations,but the increase of investment return from the strategy change might not make up for the decrease of underwriting profit.
Keywords:VaR  optimal investment strategy  risk adjusted return  efficient frontier
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