均值-方差准则下相依双险种最优再保险  

Optimum Reinsurance for Dependent Double Insurance Under Mean-variance Criteria

作　　者：蒋兰青 JIANG Lanqing(Department of Elementary Education,Minjiang Teachers College,Fuzhou 350108,China)

机构地区：[1]闽江师范高等专科学校初等教育系,福州350108

出　　处：《四川理工学院学报（自然科学版）》2018年第6期81-85,共5页Journal of Sichuan University of Science & Engineering(Natural Science Edition)

基　　金：福建省中青年教师教育科研项目(JAT171171)

摘　　要：随着保险业务的扩大与发展,保险公司必须通过再保险来分散风险,扩大承保能力。为此,建立了一类双险种再保险模型,假设两险种理赔的发生均为复合Poisson过程,保险公司对两险种分别采取成数及超额赔款再保险。考虑到两险种的理赔之间不是独立的、不同风险业务可能引发共同的因素,因此进一步将某种理赔相依关系引入上述模型中,建立了一类更符合实际的再保险模型。针对改进模型,运用均值-方差原理和期望保费计算原理,通过解决总体风险最小和期望收益最大的双目标规划问题,得到了模型的相应参数,从而选取最优自留额。With the expansion and development of insurance business,insurance companies must spread risks and expand underwriting capacity through reinsurance.Therefore,a kind of reinsurance model with double risks is established,in which it is assumed that the claims of the two kinds of insurance are both compound Poisson processes.The insurance company adopts the component reinsurance with quota-share reinsurance and excess of loss reinsurance for the two types of insurance respectively.Taking into account that the claims of two types of insurance are not independent and different risk business may lead to common factors,some claims dependence are further introduced into the above model,a more realistic reinsurance model is established.For this improved model,by using the mean-variance principle and the expected premium calculation principle,the corresponding parameters of the model are obtained by solving the problem of the minimum overall risk and the maximum expected return,and the optimal retention amount is selected.

关 键 词：成数再保险 超额损失再保险 均值-方差 相依风险 最优自留额 

分 类 号：O29[理学—应用数学]