Research On The Optimal Insurance Investment Strategy Under Uncertain Environmen

For a long time,how to determine the scientific insurance claim function and optimize the asset allocation of insurance companies to achieve the purpose of risk allocation and stable operation has been a hot research topic in the insurance field.However,through reviewing the previous literature,it is found that there are some areas that can be improved:firstly,for insurance claims of insurance companies,previous studies mostly used traditional econometric models to study the degree of influence of certain factors on insurance claims,while our study adopt mathematical models to build insurance claims function and verify the rationality and scientificity of the function with the goal of maximizing the utility of policy-holders.Secondly,for the asset allocation of insurance companies,previous studies mostly used the classic Markowitz mean-variance model,but the premise of using this method is that the return rate of risky assets obeys some probability distribution.However,in real life,the market fluctuates,which makes it impossible to accurately estimate the return rate distribution of risky assets.With the development of various optimization theories,the research on insurance resource allocation has formed a more diversified system.We adopt robust optimization model to study the asset allocation of insurance companies.This optimization method,which does not need to estimate its probability distribution,is more operable.The research content of this paper mainly includes the following two parts:In the third chapter of this paper,we propose a new insurance payout function which includes the occurrence time of insurance accident,occurrence probability of insurance accident,premium,insurance payout amount,subject matter of insurance,protection period and other factors.The minimum-maximum regret criterion is adopted to study the scientificity and rationality of the compensation function from two angles of certainty and uncertainty.The numerical experimental results show that the insurance payout function proposed by us has a lower regret value for the policy-holders.In addition,for the insurance subject matter with higher initial cost and lower value created in each period,the policy-holder is better to take short-term insurance.When designing the amount of insurance claims,the insurance company should take full account of the occurrence time of the insured accident,and check the actual loss suffered by the insured according to it,so as to provide more reasonable and comprehensive products for the policy-holders.In the fourth chapter of this paper,we first propose a basic utility maximization model of insurance companies,and then we incorporate insurance investment behavior and risk measurement of insurance companies into the insurance model to obtain the three insurance investment models proposed in this chapter,namely:Insurance investment model based on mean-CVaR,robust insurance investment model based on uncertain environment and robustCVaR insurance investment model.The first model assumes that the rate of return of risk assets follows a certain probability distribution,while the last two models represent the rate of return of risk assets with uncertain sets.The numerical experimental results show that the increase of volatility rate and uncertainty of risk assets both have negative effects on the optimal utility of insurance companies,but have different effects on investment strategy.In the absence of risk aversion,the optimal investment strategy of insurance companies is risk-free assets.When risk avoidance is considered,although the total investment ratio of insurance companies will decrease,the types of financial assets invested will become diversified,and the maximum utility of insurers will increase.This may be because insurance companies diversify their investments,and their investment ratio in financial assets with the highest yield increases with the increase of uncertainty.The research in this paper focuses on the maximum utility form of the policy-holders and the insurance companies,and takes the volatility of the market into consideration at the same time.The insurance payout and asset allocation of the insurance company are respectively studied under the uncertain environment.The numerical experimental results show that the relevant model proposed by us is better for both the insurance applicant and the insurance company.The research of this paper can provide certain reference advice to the insurance industry.