共查询到18条相似文献,搜索用时 156 毫秒
1.
本文在扩散逼近风险模型下考虑保险公司和再保险公司之间的停止损失再保险策略选择博弈问题.假设保险公司和再保险公司都以期望终端盈余效用增加作为购买停止损失再保险和接受承保的条件.在保险公司和再保险公司都具有指数效用函数条件下,运用动态规划原理,通过求解其对应的Hamilton-Jacobi-Bellman方程,得到了三种博弈情形下保险公司和再保险公司之间的停止损失再保险策略和值函数的显示解,以及再保险合约能够成交时再保费满足的条件.结果显示,在适当的条件下,保险公司和再保险公司之间的停止再保险合约是可以成交的.最后,通过灵敏性分析给出了最优停止损失再保险策略和再保费,以及效用损益与模型主要参数之间的关系,并给出相应的经济分析. 相似文献
2.
研究一类带干扰的理赔相依的双险种风险模型,其中两险种分别采取成数再保险和超额损失再保险.在期望保费计算原理下,利用调节系数最大化得到成数再保险及超额损失再保险的最优自留水平. 相似文献
3.
追溯保费是一种依赖于保单期保险人实际损失的保费厘定计划,是对过去已经发生的损失进行承保的保险方式.本文将追溯保费应用于再保险模型中,当最优准则选为最小化风险调整值而风险资本用TVaR来度量时,得到的最优分保函数形式为停止损失再保险.进而,研究了最优停止损失再保险中最优自留额的求解算法.最后,假设损失服从指数分布、Pareto分布和Gamma分布等情形,利用数值举例的方法研究了税租乘数T和安全负荷系数ρ对最优自留额和最小风险调整值的影响.结果表明,当其他参数一定时, T增大,最优自留额增大而最小风险调整值减小;而其他参数一定时,最优自留额和最小风险调整值都会随着ρ的增大而增大. 相似文献
4.
5.
本文对双险种风险模型,在一险种采取比例再保险,另一险种采取超出损失再保险策略下,得到调节系数与再保险自留水平之间的函数关系式,在理赔额为指数分布和Erlang(2)分布的条件下,得到最优比例再保险和超出损失再保险的自留水平,以及调节系数最大值。 相似文献
6.
7.
8.
本文站在保险人的立场上,讨论了保险公司的最优组合再保险问题.通过纯粹比例再保险,纯粹超额损失再保险,或者这两类再保险的组合方式,把保险公司的部分风险分担出去.在最大化调节系数的最优准则下,我们得出了布朗运动模型和复合Poisson模型中最优值的显示表达,并且给出了复合Poisson模型中最优策略下破产概率的最小指数上界.我们还得出结论:在一定的条件下,总存在一种纯粹超额损失再保险策略比任何一类组合再保险策略都要好.最后,通过一些数例和图表来进一步说明我们在文中所获得的结论. 相似文献
9.
10.
本文在Sparre Anderson模型中采用超额损失再保险与成数分保混合的策略,其中成数分保再保险费按照原始条款计算,超额损失再保险费按Esscher保费原则计算。通过调整系数来研究再保险的效应,将调整系数看作自留额水平的函数,证明了在M充分大时保险人的调整系数关于自留额水平M单调增加,在一定程度上有利于保险公司确定更合理的自留额水平M。 相似文献
11.
Manuel Guerra 《Insurance: Mathematics and Economics》2008,42(2):529-539
This paper is concerned with the optimal form of reinsurance from the ceding company point of view, when the cedent seeks to maximize the adjustment coefficient of the retained risk. We deal with the problem by exploring the relationship between maximizing the adjustment coefficient and maximizing the expected utility of wealth for the exponential utility function, both with respect to the retained risk of the insurer.Assuming that the premium calculation principle is a convex functional and that some other quite general conditions are fulfilled, we prove the existence and uniqueness of solutions and provide a necessary optimal condition. These results are used to find the optimal reinsurance policy when the reinsurance premium calculation principle is the expected value principle or the reinsurance loading is an increasing function of the variance. In the expected value case the optimal form of reinsurance is a stop-loss contract. In the other cases, it is described by a nonlinear function. 相似文献
12.
By formulating a constrained optimization model, we address the problem of optimal reinsurance design using the criterion of minimizing the conditional tail expectation (CTE) risk measure of the insurer’s total risk. For completeness, we analyze the optimal reinsurance model under both binding and unbinding reinsurance premium constraints. By resorting to the Lagrangian approach based on the concept of directional derivative, explicit and analytical optimal solutions are obtained in each case under some mild conditions. We show that pure stop-loss ceded loss function is always optimal. More interestingly, we demonstrate that ceded loss functions, that are not always non-decreasing, could be optimal. We also show that, in some cases, it is optimal to exhaust the entire reinsurance premium budget to determine the optimal reinsurance, while in other cases, it is rational to spend less than the prescribed reinsurance premium budget. 相似文献
13.
This paper is concerned with the optimal form of reinsurance when the cedent seeks to maximize the adjustment coefficient of the retained risk (related to the probability of ultimate ruin)-which we prove to be equivalent to maximizing the expected utility of wealth, with respect to an exponential utility with a certain coefficient of risk aversion-and restricts the reinsurance strategies to functions of the individual claims, which is the case for most nonproportional treaties placed in the market.Assuming that the premium calculation principle is a convex functional we prove the existence and uniqueness of solutions and provide a necessary optimality condition (via needle-like perturbations, widely known in optimal control). These results are used to find the optimal reinsurance policy when the reinsurance loading is increasing with the variance. The optimal contract is described by a nonlinear function, of a similar form than in the aggregate case. 相似文献
14.
It is well-known that reinsurance can be an effective risk management solution for financial institutions such as the insurance companies. The optimal reinsurance solution depends on a number of factors including the criterion of optimization and the premium principle adopted by the reinsurer. In this paper, we analyze the Value-at-Risk based optimal risk management solution using reinsurance under a class of premium principles that is monotonic and piecewise. The monotonic piecewise premium principles include not only those which preserve stop-loss ordering, but also the piecewise premium principles which are monotonic and constructed by concatenating a series of premium principles. By adopting the monotonic piecewise premium principle, our proposed optimal reinsurance model has a number of advantages. In particular, our model has the flexibility of allowing the reinsurer to use different risk loading factors for a given premium principle or use entirely different premium principles depending on the layers of risk. Our proposed model can also analyze the optimal reinsurance strategy in the context of multiple reinsurers that may use different premium principles (as attributed to the difference in risk attitude and/or imperfect information). Furthermore, by artfully imposing certain constraints on the ceded loss functions, the resulting model can be used to capture the reinsurer’s willingness and/or capacity to accept risk or to control counterparty risk from the perspective of the insurer. Under some technical assumptions, we derive explicitly the optimal form of the reinsurance strategies in all the above cases. In particular, we show that a truncated stop-loss reinsurance treaty or a limited stop-loss reinsurance treaty can be optimal depending on the constraint imposed on the retained and/or ceded loss functions. Some numerical examples are provided to further compare and contrast our proposed models to the existing models. 相似文献
15.
Erhard Kremer 《Insurance: Mathematics and Economics》1983,2(3):209-213
The problem of calculating a premium for the largest claims and ECOMOR reinsurance covers is investigated and simple, distribution-free upper premium-bounds are given. The results can be regarded as counterparts to Bowers' bound (see Bowers (1969)) for the premium of a stop-loss treaty. 相似文献
16.
17.
Reinsurance plays a vital role in the insurance activities. The insurer and the reinsurer, which have conflicting interests, compose the two parties of a reinsurance contract. In this paper, we extend the results achieved by Tan et al. (N Am Actuar J 13(4):459–482, 2009) to the case in which the perspectives of both the insurer and the reinsurer are considered. We study the optimal quota-share and stop-loss reinsurance models by minimizing the convex combination of the VaR risk measures of the insurer’s cost and the reinsurer’s cost. Furthermore, as many as 16 reinsurance premium principles are investigated. The results show that optimal quota-share and stop-loss reinsurance may or may not exist depending on the chosen principles. Moreover, we establish the sufficient and necessary conditions for the existence of the nontrivial optimal reinsurance. 相似文献
18.
Optimal reinsurance under VaR and CTE risk measures 总被引:1,自引:0,他引:1
Jun Cai Ken Seng Tan Chengguo Weng Yi Zhang 《Insurance: Mathematics and Economics》2008,43(1):185-196
Let X denote the loss initially assumed by an insurer. In a reinsurance design, the insurer cedes part of its loss, say f(X), to a reinsurer, and thus the insurer retains a loss If(X)=X−f(X). In return, the insurer is obligated to compensate the reinsurer for undertaking the risk by paying the reinsurance premium. Hence, the sum of the retained loss and the reinsurance premium can be interpreted as the total cost of managing the risk in the presence of reinsurance. Based on a technique used in [Müller, A., Stoyan, D., 2002. Comparison Methods for Stochastic Models and Risks. In: Willey Series in Probability and Statistics] and motivated by [Cai J., Tan K.S., 2007. Optimal retention for a stop-loss reinsurance under the VaR and CTE risk measure. Astin Bull. 37 (1), 93–112] on using the value-at-risk (VaR) and the conditional tail expectation (CTE) of an insurer’s total cost as the criteria for determining the optimal reinsurance, this paper derives the optimal ceded loss functions in a class of increasing convex ceded loss functions. The results indicate that depending on the risk measure’s level of confidence and the safety loading for the reinsurance premium, the optimal reinsurance can be in the forms of stop-loss, quota-share, or change-loss. 相似文献