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Optimal Dynamic Portfolio Selection for Insurers Based on Solvency Requirements under the New Insurance Law

Author: ShiXiaoZuo
Tutor: WuShuJin
School: East China Normal University
Course: Actuarial Science
Keywords: Random pulse model Surplus New Insurance Law Optimal Investment Quadratic utility function
CLC: F840
Type: Master's thesis
Year: 2010
Downloads: 88
Quote: 0
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Abstract


In the study of financial markets, usually assumes that the stock price's movement process obey the classical geometric Brownian motion model, but the study found that this model has obvious flaws, therefore this article USES the actual validation more in line with the real stock prices after random pulse model to describe the stock price. In the insurer, the optimal investment problem, this paper not only introduced the concept of cash compensation, and consider the latest implementation of the insurance law of the circ to the requirement of insurance company solvency. This makes insurance company's investment portfolio problem becomes more complicated. This article with a diffusion process of risk control to describe the dynamic of this assumption, in a certain moment of the insurance company owned by the wealth of the quadratic utility function to a desired maximum. And in this case the optimal portfolio allocation of funds of insurance company.

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CLC: > Economic > Fiscal, monetary > Insurance > Insurance Theory
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