基于VaR风险度量下带有通货膨胀率的最优再保险

发布时间：2018-06-02 21:22

本文选题：混合再保险 + VaR风险度量　；参考：《哈尔滨理工大学》2014年硕士论文

【摘要】：本文主要讨论了基于VaR风险度量下带有通货膨胀率的最优再保险策略，再保险业务中，最重要的就是自留风险与再保费用二者的关系。再保险分出人同时希望二者都能比较少，可是，这二者的关系是相互矛盾的，再保险分出人若要希望付出较少的再保险费用，自然分出的风险也会比较少，那么它必然要承受较高的自留风险。显然，研究保险公司怎样处理上述二者的关系是处理再保险问题的关键。首先，本文阐述了VaR的发展历史，再保险、最优再保险和VaR的定义以及再保险的分类。其次，回顾了一下保费原理和VaR风险度量及其最优准则。然后，引用了一些与本文相关学者的研究成果。在此基础上，，主要论述了通货膨胀率对混合再保险在VaR风险度量下最优再保险的影响。首先，确定了混合再保险在三种情况下的VaR表达式。其次，在采用期望值原理进行计算时，在已知分出比例的情况下，确定了最优自留额和VaR表达式二者的具体形式。再次，采用方差原理计算，在三种情况下分别确定了未知数和VaR表达式的具体形式。这三种情况是未知自留额,未知分出比例和二者全部未知的情况。最后，在上述定理和推论给出后都进行了相应的举例说明。
[Abstract]:This paper mainly discusses the optimal reinsurance strategy with inflation rate based on the VaR risk measurement. In the reinsurance business, the most important thing is the relationship between the retention risk and the reinsurance cost. The reinsurance divider also hopes that both can be less, but the relationship between the two is contradictory. If the reinsurance splitter wants to pay less reinsurance fees, the risk will naturally be less. Then it must bear a higher risk of retention. Obviously, it is the key to deal with the reinsurance problem to study how the insurance companies deal with the relationship between the two. Firstly, this paper describes the history of VaR, the definition of reinsurance, optimal reinsurance and VaR, and the classification of reinsurance. Secondly, the premium principle, VaR risk measurement and its optimal criterion are reviewed. Then, some research results related to this paper are cited. On this basis, the effect of inflation rate on optimal reinsurance under VaR risk measurement is discussed. First, the VaR expression for mixed reinsurance in three cases is determined. Secondly, when the expected value principle is used to calculate, the concrete forms of the optimal retention amount and the VaR expression are determined under the condition of the known split ratio. Thirdly, the concrete forms of the unknown number and the VaR expression are determined in three cases by using the variance principle. These three cases are unknown retention rate, unknown separation ratio and both unknown. Finally, the corresponding examples are given after the above theorems and deductions are given.
【学位授予单位】：哈尔滨理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F840.69;F820.5

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