| 基于现金流优化的投资免赔契约 |
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| 引用本文： | 宋庆凤.基于现金流优化的投资免赔契约[J].系统工程,2011(7). |
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| 作者姓名： | 宋庆凤 |
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| 作者单位： | 天津大学系统工程研究所; |
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| 摘 要： | 从折现现金流最大化的角度研究了投资者的投资和免赔保险决策问题。在保险人赔付额限制条件下,建立了投资免赔契约模型,给出了最优投资策略和最优免赔保险策略,数值算例验证了模型的有效性。
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| 关 键 词： | 免赔契约 组合投资 现金流 猴群算法 |
Deductible Contract to Investment Based on Cash Flow Optimization |
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| SONG Qing-feng.Deductible Contract to Investment Based on Cash Flow Optimization[J].Systems Engineering,2011(7). |
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| Authors: | SONG Qing-feng |
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| Institution: | SONG Qing-feng(Institute of Systems Engineering,Tianjin University,Tianjin 300072,China) |
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| Abstract: | This paper explores investor's decision on investment and deductible insurance,from the insured's perspective of maximization the discounted cash flow.A deductible contract model with investment and the constraint of limited compensation is built,and the optimal investment strategies and the optimal deductible insurance are obtained.A numerical example is presented,which illustrates the effectiveness of the proposed model. |
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| Keywords: | Deductible Contract Portfolio Investment Cash Flow Monkey Algorithm |
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