Sparre Andersen风险模型中的重置保证再保险(英文)  

Reinsurance for Reset Guarantee in the Sparre Andersen Model

作　　者：谭激扬[1] 邓丽[1] 杨向群[2] 

机构地区：[1]湘潭大学统计系,湖南湘潭411105 [2]湖南师范大学统计系,湖南长沙410081

出　　处：《湘潭大学自然科学学报》2013年第2期1-9,共9页Natural Science Journal of Xiangtan University

基　　金：国家自然科学基金项目(61272294,11171101)

摘　　要：考虑一个具有常数红利边界的Sparre-Andersen风险模型,在此模型中提出一种新的再保险以保证在公司出现较小的赤字时再保险公司出资重置盈余到某个非负的水平,其中再保费从红利中提取.发现这样的重置保证再保险不但能显著提高破产前的贴现红利总量,而且能提高公司的平均寿命.对如此的优势作者作了严格的数学证明,并且举了两个实例印证了结论.We consider the Sparre Andersen risk model with a horizontal dividend barrier, and propose a new ,sort of reinsurance with reinsurance premiums extracted from the dividends in order to reset the surplus to a non-negative level when small deficits occur. We find that the reset guarantee reinsurance can not only remarkably enhance the discounted dividend amount prior to ruin, but also increase the average life of an in- surance company. This advantage is proven, and numerical illustrations are given for an Erlang（2） risk model and a compound Poisson risk model.

关 键 词：Sparre-Andersen模型 再保险 值函数 

分 类 号：F840[经济管理—保险] O211.6[理学—概率论与数理统计]