发帖
雷达卡
摘要翻译：
经济权益最大化准则(MFPE)导致金融组合的选择，使保险公司的期望值与资本的比率最大化。这一标准是在非人寿保险公司的框架内提出的，适用于法国立法的框架内和受欧洲项目偿付能力正在进行的工作启发的法律背景2。在法国的监管案例中，所需的偿付能力保证金并不取决于资产配置。在偿付能力2框架中有很大的不同，因为目标资本必须控制公司的全球风险。金融风险是全球风险的一部分。因此，经济权益最大化准则导致搜索一对资产配置/权益，从而求解一个随机规划。通过一个数值例子，可以分析偿付能力2框架的引入对非寿险公司的技术储备和股权的影响，以及对基于经济股权最大化准则的最优配置的影响。最后，说明了风险资产模型的不规范对最优配置的影响。
---
英文标题：
《Allocation d'actifs selon le crit\`ere de maximisation des fonds propres
\'economiques en assurance non-vie》
---
作者：
Fr\'ed\'eric Planchet (SAF), Pierre-Emanuel Th\'erond (SAF)
---
最新提交年份：
2010
---
分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
--
---
英文摘要：
The economic equities maximization criterion (MFPE) leads to the choice of financial portfolio, which maximizes the ratio of the expected value of the insurance company on the capital. This criterion is presented in the framework of a non-life insurance company and is applied within the framework of the French legislation and in a lawful context inspired of the works in progress about the European project Solvency 2. In the French regulation case, the required solvency margin does not depend of the asset allocation. It is quite different in the Solvency 2 framework because the target capital has to control the global risk of the company. And the financial risk takes part of this global risk. Thus the economic equities maximization criterion leads to search a couple asset allocation / equities which solves a stochastic program. A numerical illustration makes it possible to analyze the consequences of the introduction of a Solvency 2 framework on the technical reserves and the equities of a non-life insurance company and on the optimal allocation due to the economic equities maximization criterion. Finally, the impact of a misspecification of the risky asset model on the optimal allocation is illustrated.
---
PDF链接：
https://arxiv.org/pdf/1001.1867
京公网安备 11010802022788号
