【作者】 贺芳；

【导师】 荣喜民；

【作者基本信息】 天津大学 ， 运筹学与控制论， 2012， 硕士

【摘要】 金融业的对外开放和快速发展，推动了社会的进步，在国民经济运行中发挥了越来越重要的作用。保险业作为金融业重要的组成部分，在稳定社会、保障民众、资金融通等方面发挥了积极作用。随着我国保险业的健全和完善，人民对保险接受程度的大幅度提高，使得我国保险业得到了迅猛的发展，保费收入以年均38%的速度增长，而且还将随着国民经济的高速增长而不断增加。数额巨大的保险基金闲置不用是相当可惜的，如果进行再投资，其投资收益既可以应付投保人随时可能的赔付要求，实现自身的保险功能，维持公司的信誉，又可以增加公司盈利，提高保险公司的市场竞争力，从而进一步扩大公司业务。而如何最大限度的获得最高的投资收益以及使投资的风险最小是保险基金投资组合的核心。而在保险基金投资管理中，选择什么样的组合进行投资，权衡不同的收益风险状况，并面对保险公司消费中的随机性和不确定性，以确定最优投资组合，以最大程度规避投资背后的风险，实现稳定的收益，是迅猛发展的保险产业对保险基金投资者提出的新的要求。本文在充分考虑了保险投资市场的复杂性和随机性，将现代投资组合理论模型、最优投资消费理论模型和随机控制原理运用到保险基金投资领域，创新的建立了带有随机消费的保险基金最优投资组合模型，并提出了一种如何用定量分析工具进行带有随机消费的保险基金投资组合优化和风险控制的方法。本文假设保险公司投资于一种无风险资产和n种服从几何Brownian运动的风险资产，在期望终端财富CARA效用最大化目标下，建立带有随机消费的保险基金最优投资组合模型，利用随机控制原理，通过求解HJB方程，给出带有随机消费且随机消费过程分别与风险资产过程和盈余过程相关的最优投资策略的解析解，最后，分析相关因素对保险公司最优决策的影响。更多还原

【Abstract】 The opening and rapid development of financial industry promoted the progressof society, and played an important part in the national economic operation. Insuranceindustry makes a positive effect in social stability, public security and financing. Theinsurance industry in China has an average growth rate of38%per annum of thepremium income with its’ rapid development and people’s acceptance. Huge amountsof insurance funds need to be made good use of, or are rather a pity that in idle. Thereturn of investment can pay for clients, keep their credit, increase profits and improvecompetitiveness, so as to further expand business. How to maximize the return oninvestment and minimize the risk of investment portfolio is the main objective ofinvestors. It is strongly demanded that investors should know how to choose theportfolio, to weigh the benefits and risks, and in the face of randomness anduncertainty, how to select the optimal portfolio, so as to avoid the underlying risk andachieve a stable benefit by the greatest possible degree.This paper gives full consideration to the complexity and randomness of theinsurance investment market, applies modern portfolio theory model, optimalinvestment and consumption model and stochastic control theory to the insurancefunds investment field, and builds the optimal investment portfolio of insurance fundswith random consumption model for the first time, which also suggests a method ofoptimal portfolio and risk control with quantitative analysis for the investors.This paper assumes that the insurance company invests in one risk-free assetand n kinds of risk assets which follow the geometric Brownian motion. We builtthe optimal investment portfolio of insurance funds with random consumption model.By applying stochastic control theory and solving the corresponding HJB equation,we obtain the explicit optimal strategy for CARA utility and derive thecorresponding value function. Finally, we analyze the influence of related factorsto optimal strategy of the insurance company.更多还原