| 基于VaR和CVaR下优化模型及其在保险资金组合投资中的应用 |
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| 引用本文： | 钟纯,吴雪,陈文财.基于VaR和CVaR下优化模型及其在保险资金组合投资中的应用[J].南昌大学学报(工科版),2011(4):398-402,408. |
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| 作者姓名： | 钟纯 吴雪 陈文财 |
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| 作者单位： | 南昌大学数学系,江西南昌330031 |
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| 基金项目： | 江西省自然科学基金资助项目（2007JZS2124） |
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| 摘 要： | 在保险资金投资收益率服从正态分布假设的前提下，以保险资金投资组合CVaR最小为目标函数，以保险资金投资组合的VaR约束和保监会相关的法律法规约束为条件，建立了考虑承保风险和交易费用的保险资金投资VaR—CVaR模型，并运用几何方法对模型进行求解，得到了模型的有效边界及其最优解。
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| 关 键 词： | 保险资金 风险价值 条件风险价值 投资组合 最优解 |
Optimizing Model Based on VaR and CVaR and Its Application in Portfolios of Insurance Funds |
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| ZHONG Chun,WU Xue,CHEN Wen-cai.Optimizing Model Based on VaR and CVaR and Its Application in Portfolios of Insurance Funds[J].Journal of Nanchang University(Engineering & Technology Edition),2011(4):398-402,408. |
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| Authors: | ZHONG Chun WU Xue CHEN Wen-cai |
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| Affiliation: | ( Department of Mathematics, Nanchang University, Nanchang 330031, China) |
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| Abstract: | Under the assumption that the return of the portfolios of insurance funds is normal distributed, and using minimum conditional value-at-risk（CVaR） of insurance funds investment portfolio as a object function, taking value-at-risk （ VaR）, relevant laws and relugations of the CIRC as the constrains, a new optimal model （ i. e. VaR- CVaR model） was developed, which involving both the underwriting risk and the transaction costs. By using the geo- metric method, the effective frontier of our model was obtained. |
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| Keywords: | insurance funds value-at-risk conditional value-at-risk portfolio optimal solution |
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