Vestnik On-line
Orenburg State University november 24, 2024   RU/EN
Headings of Vestnik
Pedagogics
Psychology
Other

Search
Vak
Антиплагиат
Orcid
Viniti
ЭБС Лань
Rsl
Лицензия Creative Commons

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.

Download
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

Crossref
Cyberleninka
Doi
Europeanlibrary
Googleacademy
scienceindex
worldcat
© Электронное периодическое издание: ВЕСТНИК ОГУ on-line (VESTNIK OSU on-line), ISSN on-line 1814-6465
Зарегистрировано в Федеральной службе по надзору в сфере связи, информационных технологий и массовых коммуникаций
Свидетельство о регистрации СМИ: Эл № ФС77-37678 от 29 сентября 2009 г.
Учредитель: Оренбургский государственный университет (ОГУ)
Главный редактор: С.А. Мирошников
Адрес редакции: 460018, г. Оренбург, проспект Победы, д. 13, к. 2335
Тел./факс: (3532)37-27-78 E-mail: vestnik@mail.osu.ru
1999–2024 © CIT OSU