标准差计算原理下的最优再保险  

Optimal reinsurance under mean-variance premium principles

作　　者：曹玉松[1] 张奕[1] 

机构地区：[1]浙江大学数学系,浙江杭州310028

出　　处：《浙江大学学报（理学版）》2006年第4期379-382,392,共5页Journal of Zhejiang University（Science Edition）

摘　　要：介绍了在标准差计算原理下,如何得出最优再保险的策略,使得保险人和再保险人双方的风险和达到最小.在一个限制条件函数类中,给出了在较为一般的风险测量函数下,最优再保险函数的充分条件.并且,在方差作为风险测量的情形下,给出了最优再保险合同的具体形式,以及最优再保险函数参数的确定方法.The problem about how to purchase the reinsurance of insurance and reinsurance companies is concerned in order to make the total risk least. The contract is priced according to standard deviation principles. Sufficient conditions for optimality of reinsurance contract are given for arbitrary risk measure within the restricted class of admissible contracts. Furthermore, it gives the example that the explicit forms of optimal contract under the variance risk measures, the existence and the method of how to decide the parameters are also given.

关 键 词：再保险 变换损失 风险函数 标准差原理 拉格朗日函数 

分 类 号：O211.6[理学—概率论与数理统计]