带有随机消费的保险基金投资研究

发布时间：2019-05-13 20:53

【摘要】：金融业的对外开放和快速发展，推动了社会的进步，在国民经济运行中发挥了越来越重要的作用。保险业作为金融业重要的组成部分，在稳定社会、保障民众、资金融通等方面发挥了积极作用。随着我国保险业的健全和完善，人民对保险接受程度的大幅度提高，使得我国保险业得到了迅猛的发展，保费收入以年均38%的速度增长，而且还将随着国民经济的高速增长而不断增加。数额巨大的保险基金闲置不用是相当可惜的，如果进行再投资，其投资收益既可以应付投保人随时可能的赔付要求，实现自身的保险功能，维持公司的信誉，又可以增加公司盈利，提高保险公司的市场竞争力，从而进一步扩大公司业务。而如何最大限度的获得最高的投资收益以及使投资的风险最小是保险基金投资组合的核心。而在保险基金投资管理中，选择什么样的组合进行投资，权衡不同的收益风险状况，并面对保险公司消费中的随机性和不确定性，以确定最优投资组合，以最大程度规避投资背后的风险，实现稳定的收益，是迅猛发展的保险产业对保险基金投资者提出的新的要求。本文在充分考虑了保险投资市场的复杂性和随机性，将现代投资组合理论模型、最优投资消费理论模型和随机控制原理运用到保险基金投资领域，创新的建立了带有随机消费的保险基金最优投资组合模型，并提出了一种如何用定量分析工具进行带有随机消费的保险基金投资组合优化和风险控制的方法。本文假设保险公司投资于一种无风险资产和n种服从几何Brownian运动的风险资产，，在期望终端财富CARA效用最大化目标下，建立带有随机消费的保险基金最优投资组合模型，利用随机控制原理，通过求解HJB方程，给出带有随机消费且随机消费过程分别与风险资产过程和盈余过程相关的最优投资策略的解析解，最后，分析相关因素对保险公司最优决策的影响。
[Abstract]:The opening and rapid development of the financial industry has promoted the progress of society and played a more and more important role in the operation of the national economy. As an important part of the financial industry, the insurance industry has played an active role in stabilizing the society, ensuring the people, financing and so on. With the perfection and perfection of China's insurance industry and the great improvement of people's acceptance of insurance, the insurance industry of our country has been developed rapidly, and the premium income has increased at an average annual rate of 38%. And will continue to increase with the rapid growth of the national economy. It is a great pity that the huge amount of insurance fund is idle. If the investment fund is reinvested, its investment income can meet the possible payment requirements of the insured at any time, realize its own insurance function, and maintain the reputation of the company. It can also increase the profit of the company and improve the market competitiveness of the insurance company, so as to further expand the business of the company. How to maximize the maximum investment return and minimize the risk of investment is the core of the insurance fund portfolio. In the investment management of insurance fund, what kind of portfolio is selected to invest, weigh the different income risk situation, and face the randomness and uncertainty in the consumption of insurance company, in order to determine the optimal portfolio. To avoid the risks behind the investment to the greatest extent and to achieve stable returns is a new requirement for insurance fund investors by the rapidly developing insurance industry. In this paper, the complexity and randomness of the insurance investment market are fully considered, and the modern portfolio theory model, the optimal investment consumption theory model and the stochastic control principle are applied to the field of insurance fund investment. This paper innovatively establishes the optimal portfolio model of insurance fund with random consumption, and puts forward a method of how to use quantitative analysis tool to optimize and control the portfolio of insurance fund with random consumption. In this paper, it is assumed that the insurance company invests in a kind of risk-free asset and n kinds of risk assets that obey the geometric Brownian movement, and establishes the optimal portfolio model of the insurance fund with random consumption under the goal of maximizing the utility of the terminal wealth CARA. By using the principle of stochastic control and solving the HJB equation, the analytical solution of the optimal investment strategy with random consumption and the stochastic consumption process related to the risky asset process and the surplus process is given. Finally, The influence of related factors on the optimal decision of insurance company is analyzed.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F842.6;F832.5

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