期望保费准则下的最优再保险策略  

Optimal Reinsurance Strategy under the Criterion of Expected Premium

作　　者：王真 刘会彩 WANG Zhen;LIU Huicai(Department of Public Education,Xuchang Electrical Vocational College,Xuchang 461000,China)

机构地区：[1]许昌电气职业学院公共教学部,河南许昌461000

出　　处：《许昌学院学报》2024年第5期13-18,共6页Journal of Xuchang University

摘　　要：再保险作为“保险的保险”,是一种有效的风险管理策略.在期望保费准则下,对成数再保险、停止损失再保险及两者的混合再保险的最优化问题进行研究.利用鞅方法得到了复合泊松风险模型中的有限时间破产概率上界,并证明了在最小化有限时间破产概率上界的指标下,停止损失再保险要优于两者的混合再保险.As “insurance of insurance”,reinsurance serves as an effective risk management strategy.In this paper,under the criterion of expected premium,the optimal strategies for quota share reinsurance,stop-loss reinsurance,and a combination of the two are investigated.By utilizing the martingale method,the upper bound of the finite-time ruin probability in the Compound-Poisson risk model is derived.Our findings indicate that in terms of minimizing the upper bound of the finite-time ruin probability,stop-loss reinsurance outperforms the combination of the two reinsurances.

关 键 词：再保险 鞅 复合泊松风险模型 破产概率 

分 类 号：T09[一般工业技术]