摘要
本文研究寿险公司的最优资产配置问题。与以往研究不同,本文基于寿险公司收益率分布的实证考察,结合法律法规对寿险资产投资的限制,建立寿险公司资产配置模型。首先建立保险公司的收益模型,以及投资比例和在险价值模型。为了完成对目标函数的刻画,利用水晶球软件对风险资产收益率序列进行分布匹配测试,分析收益率序列分布假设;最后,利用MATLAB优化软件包计算中国人寿的最优资产比例,并与其实际配置进行了比较分析。
This paper studied the optimal asset allocation of life insurance companies. Unlike previous studies, this paper, based on an exponential analysis of the distribution of investment yields of life insurance companies, estab- lished the asset allocation model of life insurers with full consideration of legal restrictions on the investment of life insurance assets. Firstly, the article set up the insurance the value at risk model. Secondly, it used the crystal ball company income model and investment percentages and software to make a matching test of the risky assets yield sequence and analyzed the total yield sequence distribution assumption. Finally,it applied the MATLAB optimization package to calculate the optimal asset allocation of China Life and made a comparative analysis of its actual portfolio.
出处
《保险研究》
CSSCI
北大核心
2013年第1期41-48,共8页
Insurance Studies
关键词
资产配置
收益率
在险价值
分布匹配测试
asset allocation
yield
value at risk
distribution matching tests
