基于双目标函数的再保险优化研究

发布时间：2018-03-26 02:05

本文选题：双目标　切入点：风险资本调整收益率　出处：《沈阳航空航天大学》2014年硕士论文

【摘要】：再保险优化问题是人们十分关注的问题之一，并且也有很多的学者对其进行研究探讨。可是，再保险优化方面的理论仍有许多地方需要完善。所以，仍然需要我们继续研究探讨。本文采用风险调整资本收益率（RORAC）来衡量保险公司和再保险公司的利润，采用风险损失的方差来衡量保险公司和再保险公司的风险损失波动情况，从而建立了基于双目标的成数再保险优化模型，通过模型的建立和实例分析，得到了成数再保险的最优自留比例，并分析了风险偏好与最优自留比例之间的关系——风险偏好与最优自留比例成负向关系。再者，本文用Matlab编程软件分别分析了最优自留比例和风险偏好与再保双方利益的关系。随着风险偏好权重的增加，即决策者（保险公司）越重视风险，最优自留比例越小，保险公司的利益和风险均趋向于减小的，，然而再保险公司的利益和风险则是随之增大的。在0.1~0.5之间，随着增大，保险公司和再保险公司的利益和风险均变化较大；在0.5~0.9之间，随着增大，无论是保险公司还是再保险公司的风险和利益都波动很小，几乎收敛到某一个数。以上就是本文研究的主要内容和成果。
[Abstract]:The problem of reinsurance optimization is one of the problems that people pay close attention to, and many scholars have studied it. However, the theory of reinsurance optimization still needs to be perfected. We still need to continue to study and explore. In this paper, the risk-adjusted capital rate of return (RORAC) is used to measure the profits of insurance companies and reinsurance companies, and the variance of risk losses is used to measure the volatility of risk losses of insurance companies and reinsurance companies. Thus, the optimization model of compound reinsurance based on double objectives is established, and the optimal retention ratio of composite reinsurance is obtained through the establishment of the model and the analysis of examples. The relationship between risk preference and optimal retention ratio is also analyzed-risk preference has a negative relationship with optimal retention ratio. In this paper, Matlab programming software is used to analyze the relationship between optimal retention ratio, risk preference and the interests of both parties. With the increase of the weight of risk preference, that is, the more the decision maker (insurance company) attaches importance to risk, the smaller the optimal retention ratio is. The interests and risks of the insurance companies tend to decrease, while the interests and risks of the reinsurance companies increase. Between 0.1 and 0.5, the interests and risks of the insurance companies and the reinsurance companies vary greatly; between 0.5 and 0.9, With the increase of risk and profit of insurance company and reinsurance company, the fluctuation of risk and profit is very small and almost converges to a certain number. The above is the main content and achievement of this paper.
【学位授予单位】：沈阳航空航天大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：O221.6;F842.69

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