二阶随机占优约束保险资金资产组合优化理论

发布时间：2018-02-11 22:45

本文关键词： 保险资金资产组合优化二阶随机占优约束光滑化方法　出处：《湘潭大学》2014年硕士论文　论文类型：学位论文

【摘要】：保险公司的收益主要来源于承保利润和投资收益,其中承保利润受国家政策变动、市场条件波动等外部因素的影响比较大.而保险公司的投资能力大小往往取决于投资收益,所以保险公司要选择一个合理的投资组合及投资比例,使得保险公司的投资收益达到最大. 目前构建资产组合的方法很多,得到的最优投资比例也各不相同,其中随机占优组合优化也已经普遍应用到经济和金融领域.本文研究的是在投资组合优化中如何建立二阶随机占约束的保险资金资产组合优化模型,并论述了模型的罚问题.在求解二阶随机占优约束的模型中,非光滑的算子使求解变得困难.此外,未来保险资金的投资是基于历史数据来预测.因此我们考虑在保险资金的收益率和基准收益率都为离散有限分布的情况下,用光滑函数近似逼近非光滑函数的方法来处理模型,从而简化了模型的求解. 本文分为五章,第一章简单介绍了投资组合问题及保险资金运用的研究背景及进展情况,对本文的主要工作做了介绍,同时对二阶随机占优组合优化问题所涉及的基本概念作了介绍,另外对本文使用的符号进行了说明.第二章在一般的均值-方差保险资金资产组合优化模型的基础上,建立二阶随机占优保险资金资产组合优化模型.第三章论述二阶随机占优保险资金资产组合优化模型的最优化理论.第四章分析在保险资金的收益率和基准收益率都为离散有限分布的情况下,二阶随机占优保险资金资产组合优化模型的光滑化处理.第五章是本文结论和未来研究的展望.
[Abstract]:The income of insurance company mainly comes from the underwriting profit and the investment income , in which the underwriting profit is influenced by the external factors such as the change of the state policy and the fluctuation of the market conditions . However , the investment ability of the insurance company often depends on the investment income , so the insurance company needs to select a reasonable portfolio and the investment proportion so that the investment income of the insurance company is maximized . In this paper , we consider how to establish the optimal model of portfolio optimization of insurance funds with second - order stochastic dominance in portfolio optimization , and discuss the penalty problem of the model . In this paper , we consider how to establish a second - order stochastic dominant portfolio optimization model in portfolio optimization . In addition , the investment of future insurance funds is based on historical data . Therefore , we consider the method of approximating non - smooth function with smooth function to deal with the model . This paper is divided into five chapters , the first chapter briefly introduces the research background and the progress of the investment portfolio problem and the application of insurance funds , introduces the basic concepts involved in the second - order stochastic dominance portfolio optimization problem . The second chapter discusses the optimization theory of the second - order stochastic dominant insurance funds asset portfolio optimization model . Chapter three discusses the optimization model of the second - order stochastic dominance insurance funds asset portfolio optimization model .

【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F840.4

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