Investment portfolio management of insurance company

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The article considers the problem of formation investment portfolio which consists of risk and riskfree assets category. Using the quantile strategy this problem is reduced to the problem of finding the required net profit. Having represented the insurance company which operates in the competitive market as the system of stochastic cash flows and having formulated factors which influenc the size of the required net profit, the authors obtain a solution to the problem.

Insurance company, investment portfolio, quantile strategy, underwriting cycle, insurance market, cash flow

Короткий адрес: https://sciup.org/147155759

IDR: 147155759

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