| 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.再保险-投资的M -V及M -VaR最优策略[J].湖南农业大学学报(自然科学版),2011(3):71-76. |
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| 作者姓名： | 王海燕 彭大衡 |
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| 作者单位： | （1.广东商学院 数学与计算科学学院，2.广东商学院 金融学院，广州 510320） |
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| 摘 要： | 考虑保险公司再保险-投资问题在均值-方差（M -V）模型和均值-在险价值（M -VaR）模型下的最优常数再调整策略.在保险公司盈余过程服从扩散过程的假设及多风险资产的Black -Scholes市场条件下，分别得到均值-方差模型和均值-在险价值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，并就两种模型下的结果进行了比较.
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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 |
Optimal Reinsurance -investment Strategies under M -V and M -VaR Models |
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| WANG Hai -yan,PENG Da -heng.Optimal Reinsurance -investment Strategies under M -V and M -VaR Models[J].Journal of Hunan Agricultural University,2011(3):71-76. |
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| Authors: | WANG Hai -yan PENG Da -heng |
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| Abstract: | Optimal constant rebalance strategies under Mean -variance and Mean -VaR models were considered. Under the assumption that claim process of an insurance company follows diffusion process, optimal constant rebalance strategies and the corresponding effective frontier under Mean -variance and Mean -VaR models were obtained, respectively, for reinsurance -investment problem in Black -Scholes market with multiple risky assets.The results under Mean -variance and Mean -VaR models were compared with each other. |
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| Keywords: | reinsurance -investment mean -variance model mean -VaR model constant rebalance strategy |
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