再保险人违约风险下非对称信息的Bowley再保险
Bowley reinsurance with asymmetric information under reinsurer's default risk
邹振烽 1夏子超1
作者信息
- 1. 中国科学技术大学管理学院统计与金融系,安徽合肥 230026
- 折叠
摘要
信息不对称的Bowley再保险是指:保险人和再保险人利用扭曲风险度量衡量风险,但保险人的扭曲风险度量存在不对称信息.在前人研究的基础上,我们研究了再保险人违约风险下非对称信息的Bowley再保险问题.我们将此解决方案称为违约风险下的Bowley解决方案,并在一般假设下提供了该解决方案的显式解.最后,给出了一些数值例子来说明本文的主要结论.
Abstract
Bowley reinsurance with asymmetric information means that the insurer and reinsurer are both presented with distortion risk measures but there is asymmetric information on the distortion risk measure of the insurer.Motivated by predecessors research,we study Bowley reinsurance with asymmetric information under the reinsurer's default risk.We call this solution the Bowley solution under default risk.We provide Bowley solutions under default risk in a closed form under general assumptions.Finally,some numerical examples are provided to illustrate our main conclusions.
关键词
Bowley再保险/非对称信息/扭曲-偏差保费原则/扭曲风险度量/违约风险Key words
Bowley reinsurance/asymmetric information/distortion-deviation premium principle/distortion risk measure/default risk引用本文复制引用
基金项目
Postdoctoral Fellowship Program of CPSF(GZC20232556)
安徽省自然科学基金(2308085QA11)
出版年
2024
NETL
NSTL
维普
万方数据