保险业的权益配置与投资组合选择
Equity Allocation and Portfolio Selection in Insurance
摘要：
建立了一个离散时间的最优权益分配和投资组合选择的概率模型，使其至少适用于再保险。在一个公司的情况下，有几个投资组合（或子公司），代表负债和资产，它被证明是该模型的解决方案尊重约束ROE的，破产概率和市场份额目前在实际使用中。解决方案定义了公司的全球和最佳风险管理策略。数学存在的结果和工具，如反演的线性部分的欧拉-拉格朗日方程，在前面的文件中开发的背景下，一个简化的模型是必不可少的数学和数值构造的模型的解决方案。
英文摘要：
A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both liabilities and assets, it is proved that the model has solutions respecting constraints on ROE's, ruin probabilities and market shares currently in practical use. Solutions define global and optimal risk management strategies of the company. Mathematical existence results and tools, such as the inversion of the linear part of the Euler-Lagrange equations, developed in a preceding paper in the context of a simplified model are essential for the mathematical and numerical construction of solutions of the model.
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