基于期望效用函数最大化的最优再保险策略
摘要
保险公司为了减少巨灾风险所带来的超额损失,对承保风险进行再保险安排是最常用的风险转移策略之一。文章主要研究一种最优再保险机制。给定保险人的效用函数,通过对承保业务的再转移,使得保险人的期望效用达到最大。如果保险人依据最大可能损失保费原理向再保险人支付再保险保费,则对保险公司最优的合同形式是有限停损再保险。
引文
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[5]Tan K S,Weng C,Zhang Y.Optimality of General Reinsurance Con-tracts Under CTE Risk Measure[J].Insurance Mathematics and Eco-nomics,2011,49(2).
[6]Zhang L Z,Hu X,Duan B G.Optimal Reinsurance Under AdjustmentCoefficient Measure in a Discrete Risk Model Based on Poisson MA(1)Process[J].Scandinavian Actuarial Journal,2015,2015(5).
[7]李秀芳,景珮.基于多目标规划的最优再保险策略[J].天津大学学报:社会科学版,2013,15(1).
[8]Gajek L,Zagrodny D.Optimal Reinsurance Under General Risk Mea-sures[J].Insurance:Mathematics and Economics,2004,34(2).
[9]Kaluszka M,Okolewski A.An Extension of Arrow’s Result on OptimalReinsurance Contract[J].Journal of Risk and Insurance,2008,75(2).
[10]韩猛,王晓军.我国年金产品的效用比较[J].保险研究,2010,(4).
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