In the course of concrete research, this text invest fund in risk securities and have risk between the securities from securities and risk investment inside the securities choose two respects, have set up the decision model which portrays its investment behavior.
Although traditional reinsurance is still a major bearer to absorb risk, as a financial method of insurance company to deal with catastrophic risk, insurance risk securities are taking a more and more apparent role in shortening the gap between high catastrophe loss and insurance accepting capability of insurance industry.
The following three chapters carry out some preparatory work on the introduction of catastrophic risk securitization into china, analyze and comment on the catastrophic risk securitization instruments designing and issuing process and survey the "index system".
Many empirical researches have indicated that distributions of return of risky securities are heavy-tailed on condition of which the probability of extreme cases is much bigger than on condition of normal distribution.
This paper studies the problem of a free boundary that arises in a class of portfolio investment decision with the fixed transaction fees, and shows we can transform the free boundary problem of a general partial differential equations for the case of three risky securities into a much simple one.
Because empirical distributions of rates of return on risky securities have characters of skewness and excess kurtosis,this article puts forward studying portfolio selection model conditional on non-normal stable distributions.