THE CHOICE OF ASSETS FOR FORMING THE INVESTMENT PORTFOLIO OF INSURANCE COMPANY
Abstract
The task dedicated to the choice of an optimal set of assets for forming the investment portfolio of insurance company was considered. The methodic for solving it was described. With the help of quantile criterion strategy the choice problem is reduced to the problem of finding the necessary profitability and to the choice of risk assets, taking into account legislative restrictions on shares of assets in the portfolio, instead of the choice of all assets. Cluster analysis is applied to the choice of risk assets with the demanded combination of risk and profitability. An example of choice of assets to the category «stocks» was represented and recommendations about a choice depending on the attitude of insurance company towards risk were made.
About the Author
I. A. Tetin
Ural State University (National Research University), Chelyabinsk
Russian Federation
Lecturer
Russian Federation
Lecturer
References
1. Айвазян С.А., Мхитарян В.С. Прикладная статистика и основы эконометрики / изд. 2-е. Т. 1: Теория вероятностей и прикладная статистика. М.: Юнити, 2001. 656 с.
2. Кибзун А.И., Кузнецов Е.А. Оптимальное управление портфелем ценных бумаг // Автоматика и Телемеханика. 2001. № 9. С. 101–113.
3. Панюков А.В., Тетин И.А. Управление инвестиционным портфелем страховой компании // Вестник Южно-Уральского государственного университета. Серия: Экономика и менеджмент. 2012. № 22. С. 77–83.
4. Росси Э. Одномерные GARCH-модели: обзор // Квантиль. 2010. № 8. С. 1–67.
5. Секей Г. Парадоксы в теории вероятностей и математической статистике. М.: Мир, 1990.
6. Bellman R.E. Dynamic Programming. Princeton University Press, New Jersey, 1957.
7. Kelly J. A new Interpretation of Information Rate. Bell System Tec. J., 1956. V. 35. P. 917–926.
8. Markowitz H. Portfolio Selection // Journal of Finance. 1952. Vol. 7. 1. P. 77–91.
9. Merton R.C. Continuous-time finance. Cambridge MA: Blackwell, 1990.
10. Pham H. Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints. Applied Mathematics and Optimization. 2002. 46. P. 55–78.
11. Tryon R.C. Cluster Analysis: Correlation Profile and Orthometric (factor) Analysis for the Isolation of Unities in Mind and Personality. Edwards brother Inc., lithoprinters and publishers, 1939. P. 122.
12. «Об утверждении Порядка размещения страховщиками средств страховых резервов». URL: http://www.rg.ru/2012/08/17/st-rezerv-dok.html
Review
For citations:
Tetin I.A. THE CHOICE OF ASSETS FOR FORMING THE INVESTMENT PORTFOLIO OF INSURANCE COMPANY. Vestnik NSUEM. 2014;(4):144-152. (In Russ.)
Email this article 
