政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/102421
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    政大典藏 > Journal of NCCU > Issue 50 > Journal Article >  Item 140.119/102421


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/102421


    Title: A Chance-constrained Approach to Insurance and Investment Risks Management
    Authors: 姚興臺
    Yao, Shin-tai
    Contributors: 統計所
    Date: 1984-12
    Issue Date: 2016-09-30 11:42:42 (UTC+8)
    Abstract: 保險公司的業務上常常牽涉著某些不可預知的風險性，因此，如何平衡這些保險投資作業上的風險，期使公司的利潤最大。損失最少實在是一個重要的問題。一九七四年，Thompson, Matthew and Li三人在美國著名的學術性雜誌Operations Research上發表一篇論文，他們利用機會限制規劃方法(Chance-constrained Approach)去處理此類性質的問題，惟他們僅考慮混合投資的情形，卻未涉及保費混合的實情。此處，吾人試著利用機會限制規劃方法去處理保費混合暨投資混合的問題，建立一個數學模式，接著應用一些數學性質導出它的相當定常模式(Deterministic Equivalent Form)，然後再以三種不同的參數值代入此模式用非線性規劃的電腦程式(SUMT)算出各種不同的數值表來，加以詳細的比較、分析並做成結論。
    Relation: 國立政治大學學報, 50, 49-58
    Data Type: article
    Appears in Collections:[Issue 50] Journal Article

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