| 不完备市场中再保险-投资的M-V及M-VaR最优策略 |
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| 引用本文： | 王海燕,彭大衡.不完备市场中再保险-投资的M-V及M-VaR最优策略[J].中国管理科学,2011,19(4):47-53. |
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| 作者姓名： | 王海燕 彭大衡 |
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| 作者单位： | 广东商学院, 广东 广州 510320 |
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| 基金项目： | 教育部人文社会科学研究一般项目(10YJA630122) |
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| 摘 要： | 本文研究不完备市场中的保险公司再保险-投资问题.在保险公司盈余过程服从扩散过程的假设及不完备市场条件下,通过求解带约束的二次优化问题和二次优化对偶问题,分别得到均值-方差(M-V)模型和均值-在险价值(M-VaR)模型下保险公司再保险-投资问题的最优常数再调整策略及其有效前沿,对两种模型下的结论进行比较发现:两种模型下的最优常数再投资策略都表现为特定"共同基金"的倍数,但对最优倍数的选择不一定相同;两种模型下的再保险-投资有效前沿都表现为射线,但射线的起始点及斜率(风险价格)不一定相同.
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| 关 键 词： | 再保险-投资 均值-方差模型 均值-在险价值模型 常数再调整策略 |
| 收稿时间： | 2010-5-6 |
| 修稿时间： | 2011-6-6 |
Optimal Reinsurance-Investment Strategies in Incomplete Markets Under M-V and M-VaR Models |
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| WANG Hai-yan,PENG Da-heng.Optimal Reinsurance-Investment Strategies in Incomplete Markets Under M-V and M-VaR Models[J].Chinese Journal of Management Science,2011,19(4):47-53. |
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| Authors: | WANG Hai-yan PENG Da-heng |
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| Institution: | Guangdong University of Business Studies, Guangzhou 510320, China |
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| Abstract: | This paper researches reinsurance-investment problem in incomplete markets.Under the assumptions that claim process of an insurance company follows diffusion process and the financial market is incomplete,by solving a quadratic optimization problem and a quadratic optimization dual problem with constraints,optimal constant rebalance strategies and corresponding effective frontier under mean-variance and mean-VaR models are obtained,respectively,for reinsurance-investment problem in Black-Scholes market with... |
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| Keywords: | Reinsurance-Investment Mean-variance model Mean-VaR model constant rebalance strategy |
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