用组合投资理论确定最优比例再保险的一个方法  

A Method on Optimal Proportional Reinsurance by Portfolio Theory

作　　者：肖艳颖[1] 邱菀华[1] 

机构地区：[1]北京航空航天大学经济管理学院,北京100083

出　　处：《决策借鉴》2002年第4期33-36,共4页

基　　金：国家自然科学基金资助项目 ( 79930 90 0 )

摘　　要：运用组合投资理论的均值方差原则 ,分析了保险公司规避风险的问题 ;针对比例再保险的不同险种 ,建立了多目标规划模型并求解 ,确定了最优自留比例 ,并将实行再保险后的期望收益和方差与实行前进行了比较 ,认为结论适合于风险厌恶型的决策者 ;并对风险分散在证券市场与保险市场的差别进行了比较分析。Using the mean-variance principle in financial portfolio theory, this paper analyzed the risk-aversion problem for insurance company. According to different risks in proportional reinsurance, it established a multi-objective model and solved it, then gave the optimal proportion. It also compared the results between prio and after reinsurance based on which different people with different risk preference would take different measure. Furthermore, it compared the principle of risk diversification between financial and insurance market.

关 键 词：组合投资理论 再保险 比例再保险 保险风险转型 

分 类 号：F840[经济管理—保险]