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Multistage Stochastic Programming Model for the Portfolio Problem of a Property-Liability Insurance Company

机译：财产责任保险公司投资组合问题的多阶段随机规划模型

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摘要

The current portfolio model for property-liability insurance company is only single period that can not meet the practical demands of portfolio management, and the purpose of this paper is to develop a multiperiod model for its portfolio problem. The model is a multistage stochastic programming which considers transaction costs, cash flow between time periods, and the matching of set and liability; it does no depend on the as- sumption for normality of return distribution. Additionally, an investment constraint is added. The numerical example manifests tat the multiperiod model can more effectively assist the property-liability insurer to deter- mine the optimal composition of insurance and investment portfolio and outperforms the single period one.
机译：当前财产责任保险公司的投资组合模型仅仅是单一时期，不能满足投资组合管理的实际需求，本文的目的是针对其投资组合问题建立多周期模型。该模型是一个多阶段随机规划，它考虑了交易成本，时间段之间的现金流以及资产和负债的匹配；它不依赖于收益分布正态性的假设。另外，添加了投资约束。数值算例表明，多周期模型可以更有效地帮助财产责任保险公司确定保险和投资组合的最优构成，并优于单周期模型。

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