Home – Home – Jornals – Scientific journal “Vestnik NSUEM” 2014 number 4

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.