具有破产后恢复可能性的保险公司投资组合优化:一个指数效用函数的案例

IF 0.3 Q4 MATHEMATICS, APPLIED
Masoud Komunte, Christian Kasumo, Verdiana Grace Masanja
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引用次数: 1

摘要

本文提出并分析了具有破产恢复可能性的保险公司投资组合的摄动数学模型。投资回报和再融资是克服破产的方法。对模型在[0,1]范围内破产后恢复可能性的不同情况进行分析。研究结果表明,投资回报率对降低最终破产具有重要作用,随着保险公司收回风险的可能性的增加,投资回报率会快速降低破产。最后,该研究建议所有保险公司都应该有受过良好培训的风险管理人员,他们可以研究公司的投资组合,并就如何避免或最小化破产以及如何在破产发生时恢复向经理提出建议。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Insurance Companies Portfolio Optimization with Possibilities of Recovery after Ruin: A Case of Exponential Utility Function
In this paper, we propose and analyze the perturbed mathematical model for modeling the portfolio of insurance companies with possibilities of recovery after ruin. Return on investment and refinancing are used as approaches for overcoming ruin. The model is analyzed for different cases of possibilities of recovery after ruin within [0, 1]. The results indicate that the return on investment plays an important role in reducing the ultimate ruin and that as the possibility of recovery for insurance companies increases the return on investment reduces the ruin at a fast rate. Finally, the study recommends that all insurance companies should have well trained staff in risk management who can study the company’s portfolio and gives suggestions to managers on how to avoid or minimize ruin and how to recover in case ruin occurs.
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