最优资本分配中均值方差模型的推广研究
发布时间:2018-01-06 13:00
本文关键词:最优资本分配中均值方差模型的推广研究 出处:《杭州师范大学》2016年硕士论文 论文类型:学位论文
【摘要】:资本最优分配是这些年来风险管理中热点关注的问题之一.资本分配就是将公司的资金在不同来源之间进行组合,在不同的业务上进行分配.保险公司在资金一定的情况下,就需要合理安排资金来源,将这些有限的资金分配到最需要的地方去.资金的优化分配能够提升融资结构和投资结构,进一步提高其资金的利用率.资本分配在保险精算领域中尤为重要,保险公司需要对预收保费计算准备金,各个业务部门就将准备金用于保险索赔.因此,资本分配是保险公司对自己所承担的风险和偿付能力评估不可或缺的一部分.随着世界经济的飞速发展,国内外学者对最优资本分配的研究兴趣越来越大.本文主要研究了在传统资本分配准则的基础上,当总风险超过一定阈值的资本时,我们研究了一种加权的尾部均值方差准则,得到了最优资本分配的一个解析解.进一步,当随机变量在服从多元椭圆分布时,在该准则下,得到了最优资本分配的一个解析解,推广了文献中的一些结果.
[Abstract]:The optimal allocation of capital is these years of risk management. One of the hot spots on the allocation of capital is the capital of the company are combined in different sources, distribution in different business. The insurance company in the case of certain funds, you need to arrange the sources of funding, these funds will be limited to the allocation of the need the place to go. To optimize the allocation of funds to improve the financing structure and investment structure, to further improve the utilization rate of capital. The capital allocation is very important in the field of insurance, the insurance company needs to calculate reserves for unearned premium, each business department will reserve for insurance claims. Therefore, the allocation of capital is a part of the insurance company an assessment of their commitment to risk and solvency. With the rapid development of world economy, the research on the optimal allocation of capital of domestic and foreign scholars interest More and more large. This paper mainly studies the basis of the traditional capital allocation criterion, when the total risk capital exceeds a certain threshold, we study the tail of a weighted mean variance criterion, an analytical solution of the optimal capital allocation is obtained. Further, when the random variables in the multivariate elliptical distributions, in the criterion, an analytical solution of the optimal capital allocation, generalize some results in the literature.
【学位授予单位】:杭州师范大学
【学位级别】:硕士
【学位授予年份】:2016
【分类号】:O212.1
【相似文献】
相关期刊论文 前10条
1 黄飞雪;;基于单链接聚类过滤法的均值方差模型[J];预测;2011年01期
2 王英英,李长虹,安希忠;关于多因子方差模型的互补约束和互补连通性[J];工科数学;1993年04期
3 杨利红;徐凡;;均值—方差模型在个人理财中的应用及优化[J];财会月刊;2009年30期
4 杨德权,胡运权,翟成强;均值方差模型最优解中出现负分量(卖空)的条件研究[J];预测;1997年05期
5 徐为山;杨朝军;肖彦明;;基于均值方差模型的最优巨灾保险计划[J];上海交通大学学报;2006年04期
6 詹志红,陈丽娜,卢炬;均值一方差模型对中小股民的借鉴意义[J];商业研究;2004年08期
7 李R,
本文编号:1387950
本文链接:https://www.wllwen.com/kejilunwen/yysx/1387950.html