期望保费准则下的最优再保险策略
Optimal Reinsurance Strategy under the Criterion of Expected Premium
王真 1刘会彩1
作者信息
- 1. 许昌电气职业学院 公共教学部,河南 许昌 461000
- 折叠
摘要
再保险作为"保险的保险",是一种有效的风险管理策略.在期望保费准则下,对成数再保险、停止损失再保险及两者的混合再保险的最优化问题进行研究.利用鞅方法得到了复合泊松风险模型中的有限时间破产概率上界,并证明了在最小化有限时间破产概率上界的指标下,停止损失再保险要优于两者的混合再保险.
Abstract
As"insurance of insurance",reinsurance serves as an effective risk management strategy.In this paper,under the criterion of expected premium,the optimal strategies for quota share reinsurance,stop-loss reinsurance,and a combination of the two are investigated.By utilizing the martingale method,the upper bound of the finite-time ruin probability in the Compound-Poisson risk model is derived.Our findings indicate that in terms of minimizing the upper bound of the finite-time ruin probability,stop-loss reinsurance outperforms the combination of the two reinsurances.
关键词
再保险/鞅/复合泊松风险模型/破产概率Key words
reinsurance/martingale/Compound-Poisson risk model/ruin probability引用本文复制引用
出版年
2024
NETL
NSTL
万方数据