保险业的权益配置与投资组合选择：一个简化的投资组合模型
Equity Allocation and Portfolio Selection in Insurance: A simplified Portfolio Model
摘要：
研究了二次离散时间概率模型在再保险中的最优投资组合问题.对于承保水平的正值，累积结果的期望值在其方差和年度ROE的约束下被优化。证明了唯一解的存在性，并给出了一个拉格朗日形式。提出了一种求解欧拉-拉格朗日方程的有效方法。讨论了乘子的近似确定。此基本模型是更完整模型的重要构建块。
英文摘要：
A quadratic discrete time probabilistic model, for optimal portfolio selection in (re-)insurance is studied. For positive values of underwriting levels, the expected value of the accumulated result is optimized, under constraints on its variance and on annual ROE's. Existence of a unique solution is proved and a Lagrangian formalism is given. An effective method for solving the Euler-Lagrange equations is developed. The approximate determination of the multipliers is discussed. This basic model is an important building block for more complete models.
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