成数超额混合再保险中最优自留额的确定  

Optimal Retention in the Mixture of Quota-share and Excess of Loss Treaties Reinsurance

作　　者：尹青松[1] 张峰[1] 

机构地区：[1]石河子大学师范学院/兵团教育学院,新疆石河子832003

出　　处：《兵团教育学院学报》2010年第2期39-41,共3页Journal of Bingtuan Education Institute

摘　　要：Centeno在Sparre Anderson模型中研究了调节系数关于再保险自留额的函数的性质,得到了保险人的调节系数是关于其自留额的单峰函数的结论。本文给出带扩散扰动项的复合Poisson过程的索赔时调节系数与再保险自留额的函数,得出保险公司的最优再保险自留额。Centeno studies the insurer＇s adjustment coefficient as a function of retention levels in the Sparre Anderson model. Centeno shows that the insurer＇s adjustment coefficient is a unimodal function of the retention levels. This paper offers tunctions about the adjustment coefficient and the retention of insurer with the compound Poisson model with diffuse disturbance term. The optimal retention of the reinsurance is the result.

关 键 词：复合POISSON过程 调节系数 成数与超额混合再保险 Esscher保费原则 

分 类 号：O29[理学—应用数学]