稀疏相关风险模型的最优超额损失再保险

数学物理学报 ›› 2013, Vol. 33 ›› Issue (2): 317-326.

稀疏相关风险模型的最优超额损失再保险

胡凤清

苏州大学金融工程研究中心和数学科学学院 |苏州 215006

收稿日期:2011-09-23 修回日期:2012-11-06 出版日期:2013-04-25 发布日期:2013-04-25
基金资助:
教育部博士点基金(20093201110013)资助

Optimal Excess of Loss Reinsurance for a Correlated Risk Model with Thinning-Dependence Structure

HU Feng-Qing

Research Center for Financial Engineering and Department of Mathematics, Soochow University, Suzhou 215006

Received:2011-09-23 Revised:2012-11-06 Online:2013-04-25 Published:2013-04-25
Supported by:
教育部博士点基金(20093201110013)资助

摘要/Abstract

摘要：

在稀疏相关风险模型基础上研究期望指数效用最大化和调节系数最大化下的最优超额损失再保险. 并分别给出了最优超额损失再保险策略及相应的最佳自留索赔额.

关键词: 超额损失再保险, 稀疏相关结构, 调节系数, 期望值原理

Abstract:

In this paper, we investigate the optimal excess of loss reinsurance under the correlated risk model with thinning-dependence structure, that maximizes the expected exponential utility and the adjustment coefficient respectively. Correspondingly, we derive the optimal solutions and give a numerical example to analyze the impacts of the thinning factor for each strategy.

Key words: Excess of loss reinsurance, Thinning-dependence structure, The adjustment coefficient, The expected value principle

中图分类号:

91B30

胡凤清. 稀疏相关风险模型的最优超额损失再保险[J]. 数学物理学报, 2013, 33(2): 317-326.

HU Feng-Qing. Optimal Excess of Loss Reinsurance for a Correlated Risk Model with Thinning-Dependence Structure[J]. Acta mathematica scientia,Series A, 2013, 33(2): 317-326.