【摘要】：金融業(yè)的對外開放和快速發(fā)展，推動了社會的進(jìn)步，在國民經(jīng)濟(jì)運(yùn)行中發(fā)揮了越來越重要的作用。保險業(yè)作為金融業(yè)重要的組成部分，在穩(wěn)定社會、保障民眾、資金融通等方面發(fā)揮了積極作用。隨著我國保險業(yè)的健全和完善，人民對保險接受程度的大幅度提高，使得我國保險業(yè)得到了迅猛的發(fā)展，保費(fèi)收入以年均38%的速度增長，而且還將隨著國民經(jīng)濟(jì)的高速增長而不斷增加。數(shù)額巨大的保險基金閑置不用是相當(dāng)可惜的，如果進(jìn)行再投資，其投資收益既可以應(yīng)付投保人隨時可能的賠付要求，實(shí)現(xiàn)自身的保險功能，維持公司的信譽(yù)，又可以增加公司盈利，提高保險公司的市場競爭力，從而進(jìn)一步擴(kuò)大公司業(yè)務(wù)。而如何最大限度的獲得最高的投資收益以及使投資的風(fēng)險最小是保險基金投資組合的核心。而在保險基金投資管理中，選擇什么樣的組合進(jìn)行投資，權(quán)衡不同的收益風(fēng)險狀況，并面對保險公司消費(fèi)中的隨機(jī)性和不確定性，以確定最優(yōu)投資組合，以最大程度規(guī)避投資背后的風(fēng)險，實(shí)現(xiàn)穩(wěn)定的收益，是迅猛發(fā)展的保險產(chǎn)業(yè)對保險基金投資者提出的新的要求。 本文在充分考慮了保險投資市場的復(fù)雜性和隨機(jī)性，將現(xiàn)代投資組合理論模型、最優(yōu)投資消費(fèi)理論模型和隨機(jī)控制原理運(yùn)用到保險基金投資領(lǐng)域，創(chuàng)新的建立了帶有隨機(jī)消費(fèi)的保險基金最優(yōu)投資組合模型，并提出了一種如何用定量分析工具進(jìn)行帶有隨機(jī)消費(fèi)的保險基金投資組合優(yōu)化和風(fēng)險控制的方法。 本文假設(shè)保險公司投資于一種無風(fēng)險資產(chǎn)和n種服從幾何Brownian運(yùn)動的風(fēng)險資產(chǎn)，，在期望終端財富CARA效用最大化目標(biāo)下，建立帶有隨機(jī)消費(fèi)的保險基金最優(yōu)投資組合模型，利用隨機(jī)控制原理，通過求解HJB方程，給出帶有隨機(jī)消費(fèi)且隨機(jī)消費(fèi)過程分別與風(fēng)險資產(chǎn)過程和盈余過程相關(guān)的最優(yōu)投資策略的解析解，最后，分析相關(guān)因素對保險公司最優(yōu)決策的影響。
[Abstract]:The opening and rapid development of the financial industry has promoted the progress of society and played a more and more important role in the operation of the national economy. As an important part of the financial industry, the insurance industry has played an active role in stabilizing the society, ensuring the people, financing and so on. With the perfection and perfection of China's insurance industry and the great improvement of people's acceptance of insurance, the insurance industry of our country has been developed rapidly, and the premium income has increased at an average annual rate of 38%. And will continue to increase with the rapid growth of the national economy. It is a great pity that the huge amount of insurance fund is idle. If the investment fund is reinvested, its investment income can meet the possible payment requirements of the insured at any time, realize its own insurance function, and maintain the reputation of the company. It can also increase the profit of the company and improve the market competitiveness of the insurance company, so as to further expand the business of the company. How to maximize the maximum investment return and minimize the risk of investment is the core of the insurance fund portfolio. In the investment management of insurance fund, what kind of portfolio is selected to invest, weigh the different income risk situation, and face the randomness and uncertainty in the consumption of insurance company, in order to determine the optimal portfolio. To avoid the risks behind the investment to the greatest extent and to achieve stable returns is a new requirement for insurance fund investors by the rapidly developing insurance industry. In this paper, the complexity and randomness of the insurance investment market are fully considered, and the modern portfolio theory model, the optimal investment consumption theory model and the stochastic control principle are applied to the field of insurance fund investment. This paper innovatively establishes the optimal portfolio model of insurance fund with random consumption, and puts forward a method of how to use quantitative analysis tool to optimize and control the portfolio of insurance fund with random consumption. In this paper, it is assumed that the insurance company invests in a kind of risk-free asset and n kinds of risk assets that obey the geometric Brownian movement, and establishes the optimal portfolio model of the insurance fund with random consumption under the goal of maximizing the utility of the terminal wealth CARA. By using the principle of stochastic control and solving the HJB equation, the analytical solution of the optimal investment strategy with random consumption and the stochastic consumption process related to the risky asset process and the surplus process is given. Finally, The influence of related factors on the optimal decision of insurance company is analyzed.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F842.6;F832.5

【參考文獻(xiàn)】

相關(guān)期刊論文 前9條

1 丁傳明,鄒捷中;考慮隨機(jī)收入和紅利支付的最優(yōu)投資消費(fèi)模型研究[J];長沙鐵道學(xué)院學(xué)報;2003年01期

2 榮喜民,吳孟鐸,劉泊煬;保險基金投資的單位風(fēng)險收益最優(yōu)化模型研究[J];管理工程學(xué)報;2001年02期

3 何菊芳;保險投資基金:保險業(yè)和證券市場發(fā)展的必然選擇[J];甘肅省經(jīng)濟(jì)管理干部學(xué)院學(xué)報;2002年04期

4 劉海龍,吳沖鋒;基于最差情況的最優(yōu)消費(fèi)和投資策略[J];管理科學(xué)學(xué)報;2001年06期

5 榮喜民,李楠;保險基金的最優(yōu)投資研究[J];數(shù)量經(jīng)濟(jì)技術(shù)經(jīng)濟(jì)研究;2004年10期

6 榮喜民,吳孟鐸,劉泊e

本文編號：2476185