带干扰的相依双险种最优再保险  

The Optimal Reinsurance of Double Insurance Risk Model with Interference and Dependence

作　　者：蒋兰青[1] 施齐焉[1] 

机构地区：[1]福州大学数学与计算机科学学院,福建福州350108

出　　处：《经济数学》2011年第4期15-19,共5页Journal of Quantitative Economics

摘　　要：研究一类带干扰的理赔相依的双险种风险模型,其中两险种分别采取成数再保险和超额损失再保险.在期望保费计算原理下,利用调节系数最大化得到成数再保险及超额损失再保险的最优自留水平.This paper considered a double-insurance risk model with interference and dependence, where one claim is quota-share reinsurance and the other is excess of loss reinsurance. Under the expected value premium principles, the optimal retention levels for the quota-share reinsurance and excess of loss reinsurance were obtained by maximizing adjustment coefficient.

关 键 词：相依风险 LUNDBERG不等式 成数再保险 超额损失再保险 干扰 

分 类 号：O29[理学—应用数学]