标题：Optimization Problem of Insurance Investment Based on Spectral Risk Measure and RAROC Criterion
作者：Zhao, Xia; Ji, Hongyan; Shi, Yu
作者机构：[Zhao, Xia; Shi, Yu] Shanghai Univ Int Business & Econ, Sch Stat & Informat, Shanghai 201620, Peoples R China.; [Ji, Hongyan] Shandong Univ Finance 更多
通讯作者：Zhao, X;Zhao, Xia
通讯作者地址：[Zhao, X]Shanghai Univ Int Business & Econ, Sch Stat & Informat, Shanghai 201620, Peoples R China.
来源：MATHEMATICAL PROBLEMS IN ENGINEERING
摘要：This paper introduces spectral risk measure (SRM) into optimization problem of insurance investment. Spectral risk measure could describe the degree of risk aversion, so the underlying strategy might take the investor's risk attitude into account. We establish an optimization model aiming at maximizing risk-adjusted return of capital (RAROC) involved with spectral risk measure. The theoretical result is derived and empirical study is displayed under different risk measures and different confidence levels comparatively. The result shows that risk attitude has a significant impact on in vestment strategy. With the increase of risk aversion factor, the investment ratio of risk asset correspondingly reduces. When the aversive level increases to a certain extent, the impact on investment strategies disappears because of the marginal effect of risk aversion. In the case of VaR and CVaR without regard for risk aversion, the investment ratio of risk asset is increasing significantly.