安全第一准则下最优保险投资策略选择

发布时间：2018-07-03 13:28

本文选题：安全第一准则 + 保险投资　；参考：《南京财经大学》2015年硕士论文

【摘要】：保险公司的收入来源主要有两项业务：一项是承保业务,另一项是投资业务。随着我国经济的不断发展,保险公司面临的竞争越来越激烈,单靠保费收入的传统承保业务已经不足以满足保险公司的收益需求,因而保险投资业务越来越作为保险公司提高收益的重要手段。保险投资是指保险公司将暂时闲置的资金进行投资以期获得收益的过程,它不但可以增加保险公司的利润收入,提高公司的竞争力,还可以进一步促进资本市场的发展。目前随着国际市场经济的逐步复苏以及我国国内对保险投资政策的逐步开放,保险公司的发展既面临机遇又面临挑战。如何做好保险投资决策,提高公司收益,增强自身竞争实力已经成为保险公司面临的一个重要课题。安全第一准则是Roy(1952)首次提出来的,它是指对每个投资者而言,设定一个“灾难性”水平——破产水平,使得投资者选择的投资策略尽可能规避“灾难”水平损失的发生。鉴于保险公司不同于一般企业的负债经营的特点,安全性是其面临的首要原则。而安全第一准则正是在安全的前提下实现资金的保值增值,因此对保险公司而言,安全第一准则更为适用。本文正是结合了保险公司自身的特点,假定保险盈余过程为经典的Lundberg-Cramer模型,分别考虑保险投资市场是由一个无风险债券和多个风险证券构成的连续资本市场和跳跃资本市场的情形。在给定可接受灾难水平下,建立保险公司选择最优投资策略的安全第一准则模型。利用Lagrange乘数法求解多层优化模型,得到了保险公司的最优投资策略和有效边界的解析表达式。并在此基础上分析了累积索赔折现值、承保风险、索赔强度等因素对最优投资策略的影响。最后,运用数据对保险公司如何分配投资资金进行了模拟。
[Abstract]:There are two main sources of income for insurance companies: underwriting and investment. With the development of Chinese economy, insurance companies are facing more and more fierce competition. The traditional underwriting business based on premium income is no longer enough to meet the income demand of insurance companies. Therefore, the insurance investment business is more and more as an important means for insurance companies to improve their income. Insurance investment refers to the process in which insurance companies invest temporarily idle funds in order to obtain income. It can not only increase the profit income of insurance companies and improve the competitiveness of the companies, but also further promote the development of capital markets. At present, with the gradual recovery of the international market economy and the gradual opening of China's domestic insurance investment policy, the development of insurance companies faces both opportunities and challenges. How to make the insurance investment decision, improve the company's income and enhance its own competitive strength has become an important subject facing the insurance company. The first criterion of safety was first proposed by Roy (1952). It refers to setting a "catastrophic" level-bankruptcy level for every investor, so that the investment strategy chosen by investors can avoid the loss of "disaster" level as much as possible. In view of the characteristics of liability management of insurance companies, security is the most important principle. The first criterion of safety is to keep and increase the value of capital under the premise of safety, so the first criterion of safety is more suitable for insurance companies. This paper combines the characteristics of insurance companies and assumes that the insurance surplus process is the classical Lundberg-Cramer model. It is considered that the insurance investment market is a continuous capital market and a jump capital market consisting of a riskless bond and a plurality of risky securities respectively. Under a given acceptable disaster level, a safety first criterion model for insurance companies to select optimal investment strategies is established. The Lagrange multiplier method is used to solve the multi-layer optimization model, and the analytical expressions of the optimal investment strategy and the efficient boundary of the insurance company are obtained. On this basis, the effects of accumulated claim discounted value, underwriting risk and claim strength on the optimal investment strategy are analyzed. Finally, how to distribute the investment funds of the insurance company is simulated by using the data.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F840.32

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