基于联合概率分布的最优再保险策略
Optimal Reinsurance Strategies Based on Joint Probability Distribution
段白鸽 1胡祥2
作者信息
- 1. 复旦大学经济学院风险管理与保险学系,上海200433
- 2. 南开大学经济学院风险管理与保险学系,天津300071
- 折叠
摘要
在保险公司和再保险公司的风险管理中,基于优化准则确定最优保险和再保险策略始终是保险学术界广泛关注的话题.许多已有研究大多都是从保险公司角度出发,考虑保险公司的最优再保险策略,然而保险公司的最优策略可能并不是再保险公司的最优选择,甚至不被再保险公司所接受.鉴于此,基于联合概率分布同时考虑保险公司和再保险公司双方的利益,探讨了基于期望值原则的最优比例再保险策略和最优停止损失再保险策略,在此基础上,进一步考虑了一般保费原则和更广泛的再保险合同类下的最优再保险策略,这些研究将对保险公司和再保险公司的风险管理及战略决策起到重要作用.
Abstract
In insurance and reinsurance risk management,a topic of wide spread concern is always how to determine the optimal insurance and reinsurance strategies based on the optimization criteria in insurance academia.Most existing studies mostly were from the perspective of insurance companies and considered the optimal reinsurance strategy of insurance companies.However,an optimal strategy of insurance companies may not be an optimal choice for reinsurance companies,and it might be unacceptable for reinsurance companies.Therefore,the paper considers the interests of both insurance companies and reinsurance companies based on joint probability distribution,and studies the optimal quota-share reinsurance strategy and the optimal stop-loss reinsurance strategy under the expected value principle.On the basis,the paper further considers the optimal strategies under general premium principles and among a wide class of reinsurance contracts.These studies are of great importance for the risk management and strategic decision making of both insurance companies and reinsurance companies.
关键词
优化准则/风险测度/保费原则/比例再保险/停止损失再保险Key words
optimization criteria/risk measure/premium principles/quota-share reinsurance/stop-loss reinsurance引用本文复制引用
基金项目
国家自然科学基金(71271121)
中央高校基本科研业务费专项资金(NKZXTD1101)
出版年
2013
NETL
NSTL
维普
万方数据