基于风险调整资本收益率下的最优再保险策略  

Optimal Reinsurance Strategy under Return on Risk-adjusted Capital Rate

作　　者：孟辉 周明[2] 董纪昌[1] 

机构地区：[1]中国科学院大学经济与管理学院,北京100190 [2]中央财经大学中国精算研究院,北京100081

出　　处：《运筹与管理》2017年第11期129-133,共5页Operations Research and Management Science

基　　金：国家自然科学基金面上项目(11771465;11571388);教育部人文社科重点研究基地重大项目(15JJD790036)

摘　　要：风险调整资本收益率是一个用来描述赚取收益所承担风险的重要指标,是衡量风险调整后的财务绩效的一个有效工具,在银行业中得到广泛采用。近年来,在保险公司的再保险业务中,也越来越多地采用风险调整资本收益率这一指标来衡量收益和风险。本文重新考虑了有再保险控制下的风险调整资本收益率,并得到:在一般再保险自留函数下,我们证明了分层再保险策略是最优再保险形式;进一步,我们获得了最优再保险分层水平及最优风险调整资本收益率;最后,我们也给出了算例及数值分析。The return on risk-adjusted capital（RORAC） is an important index of the risk-based profitability meas- urement, and is a valid tool to measure risk adjusted financial performance, Which has been widely used in the banking industry. In recent years, in the reinsurance business for insurance companies, this index is Used more and more to measure the profitability and risk. In this paper, we reconsider the return on risk-adjusted capital with reinsurance control, and we prove that, for the general reinsurance retention function, the layered reinsur- ance strategy is the optimal form. Furthermore, we get the optimal reinsurance layered level and the optimal return on risk-adjusted capital. Finally, we give an example and some numerical analysis.

关 键 词：风险调整资本 风险调整资本收益率 在险价值 再保险函数 

分 类 号：F224.7[经济管理—国民经济]