再保险中最优化策略的研究
发布时间：2018-11-18 15:18
【摘要】：再保险是保险人对其承担的风险责任进行转移的行为,再保险对防范、化解保险业系统性风险发挥着安全阀作用.再保险在促进保险市场发展、服务社会与经济发展方面发挥了积极作用,因此近些年来对于再保险的研究成为了各国学者竞相追逐的热点. 本文从比例再保险、停止损失再保险、混合再保险三个方面分别研究了在最大化调节系数、最小化有限时间破产概率上界这两种最优化策略下再保险的最优值问题,并得到了在两种策略下的最优自留额.而且在理赔期望值相等的情况下,证明了停止损失再保险的最优性.
[Abstract]:Reinsurance is the behavior of the insurer to transfer its risk responsibility. Reinsurance plays a role as a safety valve to prevent and resolve the systemic risk of insurance industry. Reinsurance plays an active role in promoting the development of insurance market and serving social and economic development. In this paper, we study the optimal value of reinsurance under two kinds of optimization strategies, namely, proportional reinsurance, stop loss reinsurance and mixed reinsurance in three aspects: maximizing the adjustment coefficient and minimizing the upper bound of the ruin probability in finite time. The optimal retention amount under two strategies is obtained. Moreover, the optimality of reinsurance against loss is proved under the condition of equal claim expectation.
【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F840.4
本文编号：2340404
[Abstract]:Reinsurance is the behavior of the insurer to transfer its risk responsibility. Reinsurance plays a role as a safety valve to prevent and resolve the systemic risk of insurance industry. Reinsurance plays an active role in promoting the development of insurance market and serving social and economic development. In this paper, we study the optimal value of reinsurance under two kinds of optimization strategies, namely, proportional reinsurance, stop loss reinsurance and mixed reinsurance in three aspects: maximizing the adjustment coefficient and minimizing the upper bound of the ruin probability in finite time. The optimal retention amount under two strategies is obtained. Moreover, the optimality of reinsurance against loss is proved under the condition of equal claim expectation.
【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F840.4
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