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2012, № 1 (137)



Buresh, A.I., Renner A.G., Yarkova O.N. OPTIMIZATION OF INSURANCE COMPANY INVESTMENT STRATEGY IN CASE OF SOME RISKY ASSETS The authors proposed and implemented a method of forming an optimal portfolio of risky and riskless asset, based on maximizing the probability of non-bankruptcy of insurance company. On the example of OMI and Hull insurance contracts and showed that application of the proposed approach to the formation of investment strategy provides a higher probability values of bankruptcy than Tobin's portfolio.Key words: Chance of non-bankruptcy of insurance company, the optimal investment strategy.

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References:

1. Renner AG, Yarkova ON Automated software package "Analysis of the solvency of insurance companies" / / Applied Informatics, Moscow — 2009. — № 5 (23), p. 9-15

2. Paulsen, J., Ruin models with investment income / Paulsen, J. / / Probability Surveys Vol.5, -2008, 416-434c.

3. Nikonov, O. Timofeeva, GA Methods of the theory of guaranteed control in the problem of dynamic restructuring of the investment portfolio / / Proceedings of the Institute of Mathematics and Mechanics, Ural Branch of RAS. -2000. -T.6. — № 2. -C. 460 — 476


About this article

Authors: Buresh A.I., Renner A.G., Yarkova O.N.

Year: 2012


Editor-in-chief
Sergey Aleksandrovich
MIROSHNIKOV

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