Optimal Dynamic Investment Portfolio Of Insurers In Consideration Of Real Estate

With studies on the investment means of insurance funds and risk control requirements, this paper establishes the insurers'overall assets value model including real estate investment. Based on the actual investment operations of insurers, this paper modifies model of the insurers'overall assets model to make it more feasible, and then works out the dynamic optimal investment strategy for the insurers.The paper firstly introduces the traditional assets model which includes traditional risk model and risk-free asset model, as well as a good selection process of the insurers'surplus model, and then focuses on analyzing and establishing real estate values model for insurers. In the second part, this model focuses on how to portray real estate as investment assets, relating to the variety and the cumulative value of real estate investments. This should include three parts:firstly, changes in the value of similar real estate of the market; secondly, accumulated rental income and its variety with the market price; thirdly, the depreciation of real estate itself. After determining the three asset models, in the view of related regulations of CIRC (the China Insurance Regulatory Commission) for the insurance funds for investment, this paper sets the model constraints and modifying factors for the total assets of the insurers including real estate investment. After establishing model of the insurer's overall assets, the third chapter determines the optimal objective function, the maximization of quadratic utility function of overall asset. With full analysis, the paper gives a HJB equation of continuous optimization problem strategy, which is stochastic functional differential equations and cannot be worked out as an explicit solution. Further, after the discrete of investment post, this paper gets a more realistic model for insurers'operation of investments, and finally gives the solution of dynamic optimal strategy subject to the maximization of quadratic utility function. At last, as a comparison with the optimal strategy subject to the maximization of quadratic utility function, this paper gives the optimal strategy subject to the maximization of linear utility function.