混合再保险中凸风险组合的最优再保险策略  

Optimal Reinsurance Strategy of Convex Risk Combination in Mixed Reinsurance

作　　者：谭显中 温利民[1] TAN Xianzhong;WEN Limin(School of Mathematics and Statistics,Jiangxi Normal University,Nanchang,330022,China)

机构地区：[1]江西师范大学数学与统计学院,南昌330022

出　　处：《应用概率统计》2021年第4期361-376,共16页Chinese Journal of Applied Probability and Statistics

基　　金：国家自然科学基金项目(批准号:71761019);江西省自然科学基金项目(批准号:20203ACB21227)资助.

摘　　要：再保险是一种有效的风险管理策略,在保险行业中扮演着至关重要的作用.本文在期望值保费原则下,考虑了再保险策略中原保险人和再保险人双方的利益,并以再保险双方各自总损失的VaR值的凸组合为目标函数,得到混合再保险中最优比例系数和最优自留额的理论解.进而,对最优解的各种情况进行了讨论和分析.本文的研究为保险公司的风险管理提供了决策依据.Reinsurance is an effective risk management strategy,which plays an important role in the insurance industry.Under the principle of expected premium,this paper considers the risk of both the insurer and the reinsurer.Taking the convex combination of the VaR value of the total loss of each reinsurance party as the objective function,the theoretical solution of the optimal proportion coefficient and the optimal retention in the mixed reinsurance are obtained.In addition,the various situations of the optimal solution are discussed and analyzed,which provides the decision basis for the risk management of the insurance company.

关 键 词：最优再保险 VAR风险度量 凸组合 期望值保费原则 

分 类 号：O212.8[理学—概率论与数理统计]