经典风险模型下混合双险种最优再保险的研究  

Optimal reinsurance of mixed double insurance under the classical risk model

作　　者：赵静 何敬民[1] 周奕帆 ZHAO Jing;HE Jingmin;ZHOU Yifan(School of Science,Tianjin University of Technology,Tianjin 300384)

机构地区：[1]天津理工大学理学院,天津300384

出　　处：《首都师范大学学报（自然科学版）》2023年第1期11-16,共6页Journal of Capital Normal University：Natural Science Edition

基　　金：国家自然科学基金项目(11601382);教育部人文社科青年基金项目(14YJCZH048,15YJCZH204)。

摘　　要：随着再保险行业的迅速发展,保险公司需要选择合适的再保险合同来分散和平衡风险。为了研究经典风险模型下的混合双险种风险模型的最优再保险形式,本文利用均值方差原则建立Lagrange函数,研究了包含比例再保险和超额损失再保险的最优再保险策略,得到最优比例系数和最优自留额满足的方程,并通过数值例子分析了模型中相关参数对最优再保险策略的影响。With the rapid development of the reinsurance industry,insurance companies need to choose suitable reinsurance contracts to diversify and balance risks. In order to study the optimal reinsurance form of the mixed double insurance risk model under the classical risk model,the Lagrange function is established using the mean variance principle in this paper,and the optimal reinsurance strategy including proportional reinsurance and excess of loss reinsurance is studied,then the equations satisfied by the optimal proportional coefficient and the optimal retention amount are obtained,and the influence of relevant parameters in the model on the optimal reinsurance strategy is analyzed through numerical examples.

关 键 词：最优再保险 比例再保险 超额损失再保险 均值方差原则 

分 类 号：O211[理学—概率论与数理统计]