摘要
本文在广义保费原理下通过最小化保险公司总风险暴露的VaR风险测度,研究了带有违约风险的最优再保险设计.假设保费原理满足分布不变性、风险加载性和保停止损失序,得到了最优再保险策略的一般形式,即分层再保险.特别地,当保费原理为扭曲保费原理和荷兰保费原理时,分别给出具体的最优再保险策略.最后通过数值算例来演示上述方法.
Based on generalized premium principle,the paper studies the optimal reinsurance design with default risk by minimizing VaR measure of the total risk exposure in insurance company.Suppose that the premium principle satisfies the distribution invariance,risk loading and the stop-loss ordering preserving.We obtain the general form of optimal reinsurance strategies,that is,the layer reinsurance strategy.Especially,the expression of optimal reinsurance are provided under the distortion and Dutch premium principles.Finally,two examples are given to illustrate the above methods.
作者
陈陶
李智明
吴黎军
胡亦钧
CHEN Tao;LI Zhiming;WU Lijun;Hu Yijun(School of Mathematics and System Sciences,Xinjiang University,Urumqi,830046,China;School of Mathematics and Statistics,Wuhan University,Wuhan,430072,China)
出处
《应用概率统计》
CSCD
北大核心
2023年第1期101-116,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:11661076)
新疆维吾尔自治区自然科学基金项目(批准号:2021D01E13、2018Q011)资助。
