摘要
采用最大索赔再保费定价原则,结合VaR、CTE、TV三种风险测度方法,通过研究最小化偿付不足风险的概率、期望损失以及均方期望超额损失等再保险问题,得到相应的最优再保险策略,并结合案例对各种最优策略进行静态分析.研究发现,当偿付能力基于VaR或者CTE时,最优的再保险策略是去尾停止损失再保险,这说明原保险公司此时应该更注重对中等巨额损失的保障,而没有动力去保障极值损失;当偿付能力基于TV时,最优策略是带限额的停止损失再保险,此时,保险公司为了保证经营的稳定性,势必会将一部分极值损失分保.
Using maximal possible claims principle and combining with the risk measure method of value- at-risk, conditional tail expectation and tail variance, this paper studies the reinsurance problems, which are minimizing the probability of insolvency, the expected loss and the expected square of the excessive loss. We get the optimal reinsurance strategies and analyze the results though a case. According to the investigation, when the solvency is based on the risk measures of value at risk or conditional tail expectation, the optimal reinsurance is truncated stop loss contract, which indicates that the ceding insurance company should pay more attention on the medium huge loss, but not the extreme loss. When the solvency is based on the risk measures of tail variance, the optimal strategy is limited stop loss contract. In this condition, the ceding insurance company must cede a part of their extreme loss in order to maintain long-run stability of their business.
出处
《系统工程学报》
CSCD
北大核心
2012年第1期44-51,共8页
Journal of Systems Engineering
基金
国家自然科学基金资助项目(71073084)
中国人民财产保险股份有限公司灾害研究基金项目(2011D03)
关键词
最大索赔原则
偿付能力
最优再保险
均方期望超额损失
maximal possible claims principle
solvency
optimal reinsurance
expected square of excessive loss
