英文标题：
《ALM for insurers with multiple underwriting lines and portfolio
constraints: a Lagrangian duality approach》
---
作者：
Rafael Serrano and Camilo Castillo
---
最新提交年份：
2021
---
英文摘要：
We study a continuous-time asset-allocation problem for an insurance firm that backs up liabilities from multiple non-life business lines with underwriting profits and investment income. The insurance risks are captured via a multidimensional jump-diffusion process with a multivariate compound Poisson process with dependent components, which allows to model claims that occur in different lines simultaneously. Using Lagrangian convex duality techniques, we provide a general verification-type result for investment-underwriting strategies that maximize expected utility from the dividend payout rate and final wealth over a finite-time horizon. We also study the precautionary effect on earnings retention of risk aversion, prudence, portfolio constraints and multivariate insurance risk. We find an explicit characterization of optimal strategies under CRRA preferences. Numerical results for two-dimensional examples with policy limits illustrate the impact of co-integration for ALM with multiple (dependent and independent) sources of insurance risk.
---
中文摘要：
我们研究了一个保险公司的连续时间资产配置问题，该保险公司利用承保利润和投资收益来支持多个非寿险业务线的负债。保险风险通过多维跳-扩散过程和具有相关成分的多元复合泊松过程捕获，这允许对同时发生在不同线路上的索赔进行建模。利用拉格朗日凸对偶技术，我们为在有限时间范围内从股息支付率和最终财富中最大化预期效用的投资承销策略提供了一个一般验证型结果。我们还研究了风险厌恶、谨慎、投资组合约束和多元保险风险对收益保持的预防作用。我们发现了CRRA偏好下最优策略的一个显式特征。具有保单限额的二维示例的数值结果说明了具有多个（依赖和独立）保险风险源的ALM协整的影响。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
--

---
PDF下载：
-->