摘要
针对保险资金投资的特殊性建立了投资决策的动态模型,并利用近似Markov链计算了数值解.与经典的Merton模型不同,保险资金投于风险证券的量仅在增资区域中随财富而递增,在控制区域内不会显著增加,甚至反而可能递减.最后就降息、保险资金现金流与风险证券的相关性、保险公司业绩对最优投资策略的影响进行了敏感性分析.
Insurance founds have stochastic cash flows and high security requirements. Considering these particularities, a dynamic investment model is constructed and be solved numerically by the method of an approximate Markov chain. Different from the classic Merton model, the investment on the risk security will increase with the wealth＇s gain only in the increasing region. But in the controlling region, it won＇t enhance observably, it might decrease instead. Finally the impacts of decreasing the riskless interest rate, the relativity between insurance funds and the risk security, and the company＇s achievement are analyzed.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2009年第6期86-93,共8页
Systems Engineering-Theory & Practice
基金
国家社会科学基金(05CJY006)
浙江省科技计划(2008C25012)
浙江大学曙光计划
作者简介
张小茜（1977-），女，江苏南京人，运筹学与控制论博士，主要研究方向：投资决策．
