破产概率和最优超额损失再保险  

Bankruptcy Probability and the Best Excess of Loss Reinsurance

作　　者：桂有利[1] 杨金铎[2] 

机构地区：[1]中南大学数学科学与计算技术学院,长沙410075 [2]保险职业学院保险管理系,长沙410114

出　　处：《保险职业学院学报》2009年第5期15-18,共4页Journal of Insurance Professional College

摘　　要：本文对超额损失再保险后的传统风险模型进行扩散逼近,研究使得破产概率最小的最优超额损失再保险的自留额。当索赔额为指数分布和Erlang(2)分布时,得到破产概率的表达式和最优自留额所满足的方程。通过数值计算,得到再保险对破产概率的影响,以及最优自留额与各参数之间的关系。In the paper,we study the diffusion approximation of the classical risk process after excess of loss reinsurance. We study the optimal risk exposure to get the minimal ruin probability. We get the expression of ruin probability and the equation of the optimal risk exposure as the claim size are exponential distribution and Erlang（2） distribution. By numerical results we obtain the effect of reinsurance on ruin probability,and the relationship between the optimal risk exposure and parameters.

关 键 词：破产概率 超额损失再保险 风险暴露 扩散逼近 

分 类 号：F84[经济管理—保险]