双险种最优再保险策略  

The Optimal Reinsurance Policy of Double Insurance Risk Process

作　　者：蔡平霞[1] 

机构地区：[1]中南大学数学科学与计算机技术学院,长沙410075

出　　处：《数学理论与应用》2010年第2期101-104,共4页Mathematical Theory and Applications

摘　　要：本文对双险种风险模型,在一险种采取比例再保险,另一险种采取超出损失再保险策略下,得到调节系数与再保险自留水平之间的函数关系式,在理赔额为指数分布和Erlang(2)分布的条件下,得到最优比例再保险和超出损失再保险的自留水平,以及调节系数最大值。In this paper, we study the double - insurance risk mode under one claim with proportional reinsurance and the other with excess of loss reinsurance. The function relationship between the adjustment coefficient and the reinsurance retention level is given. We also obtain the optimal proportional reinsurance and excess of loss reinsurance retention levels, as well as the maximal adjustment coefficient as the claims amount distribution are exponential distribution and Erlang（2） distribution. Keywords Ruin probability Lundberg＇ s inequality Adjustment coefficient Proportional reinsurance Excess - loss reinsurance

关 键 词：破产概率 LUNDBERG不等式 调节系数 比例再保险 超出损失再保险 

分 类 号：F224[经济管理—国民经济] F840