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Optimization Problem of Insurance Investment Based on Spectral Risk Measure and RAROC Criterion
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-10-30
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
This paper introduces spectral risk measure (SRM) into optimization problem of insurance investment.
Spectral risk measure could describe the degree of risk aversion, so the underlying strategy might take the investor's risk attitude into account.
We establish an optimization model aiming at maximizing risk-adjusted return of capital (RAROC) involved with spectral risk measure.
The theoretical result is derived and empirical study is displayed under different risk measures and different confidence levels comparatively.
The result shows that risk attitude has a significant impact on investment strategy.
With the increase of risk aversion factor, the investment ratio of risk asset correspondingly reduces.
When the aversive level increases to a certain extent, the impact on investment strategies disappears because of the marginal effect of risk aversion.
In the case of VaR and CVaR without regard for risk aversion, the investment ratio of risk asset is increasing significantly.
American Psychological Association (APA)
Zhao, Xia& Ji, Hongyan& Shi, Yu. 2018. Optimization Problem of Insurance Investment Based on Spectral Risk Measure and RAROC Criterion. Mathematical Problems in Engineering،Vol. 2018, no. 2018, pp.1-7.
https://search.emarefa.net/detail/BIM-1209849
Modern Language Association (MLA)
Zhao, Xia…[et al.]. Optimization Problem of Insurance Investment Based on Spectral Risk Measure and RAROC Criterion. Mathematical Problems in Engineering No. 2018 (2018), pp.1-7.
https://search.emarefa.net/detail/BIM-1209849
American Medical Association (AMA)
Zhao, Xia& Ji, Hongyan& Shi, Yu. Optimization Problem of Insurance Investment Based on Spectral Risk Measure and RAROC Criterion. Mathematical Problems in Engineering. 2018. Vol. 2018, no. 2018, pp.1-7.
https://search.emarefa.net/detail/BIM-1209849
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1209849