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非人寿保险的最低资本要求和投资组合分配:具有条件风险值 (CVaR) 约束的半参数模型

Alessandro Staino1, Emilio Russo1, Massimo Costabile1

  • 1Department of Economics, Statistics and Finance, University of Calabria, Ponte Bucci cubo 1C, 87036 Rende (CS), Italy.

Computational management science
|July 31, 2023
PubMed
概括

本研究优化了非人寿保险公司使用有条件风险值 (CVaR) 约束的最低资本. 结果显示,负债分配对资本需求和最佳投资组合构成有重大影响.

关键词:
资本要求 资本要求有条件的风险价值.凸起式优化的优化非人寿保险公司的非人寿保险公司

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