再保险人视角下最优自留额研究  

Research on the Optimal Retention from the Perspectives of Reinsurer

作　　者：谢靓艺 连熠瑾 刘予茜 

机构地区：[1]江西财经大学金融学院,江西 南昌

出　　处：《理论数学》2023年第2期325-331,共7页Pure Mathematics

摘　　要：本文对再保险中停止–损失再保险进行了研究。从再保险人视角,基于保险人风险总约束的情况下,求出VaR (Value-at-Risk)风险度量下再保险人面临总风险最小值的最优自留额。最后,我们对求解的结果进行数值模拟,比较不同情况下的值。In this paper, the stop-loss reinsurance model is adopted. Based on the constrains of insurer’s total individual risk, we obtain the optimal retention by minimizing the value of reinsurer’s total in-dividual risk in the risk measurement of VaR (Value-at-Risk). In the last, we simulate the result to compare with different conditions.

关 键 词：最优再保险 拉格朗日乘数法 最优自留额 

分 类 号：D92[政治法律—法学]