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Investment-reinsurance decision-making method and system
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A decision-making method and stock technology, applied in the field of investment-reinsurance, which can solve the problem of not giving the optimal solution display expression and so on
Pending Publication Date: 2021-06-08
SHANDONG UNIV
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In addition, there are also research literature on the optimal investment-reinsurance strategy of insurance companies under model uncertainty, but the Malliavin variational technique used in the literature only gives the approximate form of the optimal solution of the problem, and does not give a specific optimal solution show expression
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Embodiment 1
[0051] Such as figure 1 As shown, Embodiment 1 of the present invention provides an investment-reinsurance management system, which includes:
[0052] The obtaining module is used to obtain historical data in the market environment; wherein, the historical data includes historical stock price data, historical exchange rate conversion data, bond price historical data, and investment surplus historical data.
[0053] The first calculation module is used to calculate model construction parameters according to historical data; wherein, the model construction parameters include stock expected rate of return, stock price volatility, exchange rate conversion rate, exchange rate conversion volatility, bond rate, return on investment, Investment risk volatility and reinsurance safety load.
[0054] The building block is used to build parameters according to the model and build a strategy optimization model.
[0055] The second calculation module is used to solve the strategy optimiza...
Embodiment 2
[0079] This embodiment 2 provides a solution to obtain the specific display expression of the optimal investment-reinsurance strategy solution of an insurance company based on model uncertainty, mainly using the random maximum principle, dual method and direct construction method combined with deep learning algorithms Solve the optimization problem of insurance company's investment-reinsurance strategy. It takes into account the uncertain factors of the market environment, which is closer to reality, and considers the situation of insurance companies involved in foreign exchange investment. The scope of investment is wider, and the risk-taking problem of insurance companies is considered to provide more accurate solutions for insurance companies' reinsurance behavior.
[0080] The optimal investment, consumption and proportional investment-reinsurance strategy of an insurance company based on model uncertainty, including the following steps:
[0081] Step 1: Determine Model Pa...
Embodiment 3
[0141] Embodiment 3 provides a non-transitory computer-readable storage medium, where the non-transitory computer-readable storage medium includes instructions for executing the above investment-reinsurance decision-making method. Investment-reinsurance decision-making methods include:
[0142] Acquiring historical data in the market environment; wherein, the historical data includes historical stock price data, historical exchange rate conversion data, bond price historical data, and investment surplus historical data;
[0143] Calculate model construction parameters according to historical data; wherein, the model construction parameters include stock expected rate of return, stock price volatility, exchange rate conversion rate, exchange rate conversion volatility, bond interest rate, investment return rate, investment risk volatility and reinsurance security load;
[0144] According to the model construction parameters, build a strategy optimization model;
[0145] Using...
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Abstract
The invention provides an investment-reinsurance decision-making method and system, and belongs to the technical field of investment-reinsurance, and the method comprises the steps: obtaining historical data in a market environment through an obtaining module; the first calculation module calculating model construction parameters according to historical data; the construction module constructing a strategy optimization model according to the model construction parameters; the second calculation module adopting a random maximum value principle, combining a dual method and a direct construction method to solve the strategy optimization model, obtaining an optimal solution display expression of investment-reinsurance income maximization, and obtaining an investment-reinsurance optimal strategy; and the control module carrying out investment-reinsurance according to the investment-reinsurance optimal strategy. According to the method, a random maximum value principle, a duality method and a direct construction method are adopted, deep learning is combined, a display solution expression of an optimal strategy is determined, guidance is provided for foreign exchange investment, consumption and proportional reinsurance behaviors of an insurance company when the market environment is uncertain, and an investment, consumption and reinsurance strategy closer to the actual market environment is achieved.
Description
technical field [0001] The present invention relates to the technical field of investment-reinsurance, and specifically relates to an investment-reinsurance decision-making method and system that considers uncertain factors in the market environment and ensures that insurance companies realize optimal strategies for investment, consumption, and reinsurance behaviors that match the maximum returns in the market environment. Background technique [0002] As a means of diversifying risks, reinsurance can prevent the insurer from over-concentrating the claim risk and avoid being unable to fulfill the indemnity obligation due to the occurrence of a huge accident, which has played a certain role in stabilizing the business operation of the insurance company. [0003] With the increasingly fierce competition among insurance companies, the investment of insurance funds has become an increasingly important source of income for insurance companies, and the choice of investment strategi...
Claims
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