Risk Measure and Premium Distribution on Catastrophe Reinsurance

In this paper, we propose a new risk measure which is based on the Orlicz premium principle to characterize catastrophe risk premium. The intention is to develop a formulation strategy for Catastrophe Fund. The logarithm equivalent form of reinsurance premium is regarded as the retention of reinsurer, and the differential earnings between the reinsurance premium and the reinsurer's retention is accumulated as a part of Catastrophe Fund. We demonstrate that the aforementioned risk measure has some good properties, which are further confirmed by numerical simulations in R environment.     

二元混合型指数分布的识别性及其应用

对新提出的一类二元混合型指数分布和其他三类二元混合型指数分布,讨论了它们的分布识别问题,即记z=min（x1,x2）,I=i,当z=xi;记U-max（＆,x2）,J=j,当U=Xi;已知（Z,I）或（U,J）的分布,求（X1,X2）分布的唯一性问题．给出了（x1,x2）服从Marshall-Olkin型指数分布时,有关寿险中Z及u的精算现值的2个公式．     

保费随机收取的双险种二项风险模型的破产概率

本文考虑双险种二项风险模型,对保单到达时收取的保费是一随机变量进行了研究,得到了其破产概率的一般公式和lundberg不等式.     

随机利率下的终身寿险

本文给出 了 在 随机 利率下,终身寿 险的纯保费和 纯保 费责任准备金的计算方 法.并讨论了与之 有关的其他精算 问题.     

人寿保险中的最优缴费模型

精算数学中 ,将自然保费制转化为现今的均衡保费制 ,精算师并未考虑投保人的最优缴费策略 .本文采用最优化方法对定期寿险保单的缴费方式进行了分析 .得出 ,当精算师计算保费的利息与“银行储蓄利率”相等时 ,均衡收缴保费是保险人的最优策略 ,否则应分别采用递增或递减缴费策略 .     

Analytical best upper bounds on stop-loss premiums

We provide a list of best upper bounds on the stop-loss premium E(X?t)₊ corresponding to the risk X and the retention limit t. Various information (moments, unimodality, symmetry,…) on the distribution F of X is taken into account.     

Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer’s risk limit

In most studies on optimal reinsurance, little attention has been paid to controlling the reinsurer’s risk. However, real-world insurance markets always place a limit on coverage, otherwise the insurer will be subjected to under a heavy financial burden when the insured suffers a large unexpected covered loss. In this paper, we revisit the optimal reinsurance problem under the optimality criteria of VaR and TVaR risk measures when the constraints for the reinsurer’s risk exposure are presented. Two types of constraints are considered that have been proposed by Cummins and Mahul (2004) and Zhou et al. (2010), respectively. It is shown that two-layer reinsurance is always the optimal reinsurance policy under both VaR and TVaR risk measures and under both types of constraints. This implies that the two-layer reinsurance policy is more robust. Furthermore, the optimal quantity of ceded risk depends on the confidence level, the safety loading and the tolerance level, as well as on the relation between them.     

The net Bayes premium with dependence between the risk profiles

In Bayesian analysis it is usual to assume that the risk profiles Θ₁ and Θ₂ associated with the random variables “number of claims” and “amount of a single claim”, respectively, are independent. A few studies have addressed a model of this nature assuming some degree of dependence between the two random variables (and most of these studies include copulas). In this paper, we focus on the collective and Bayes net premiums for the aggregate amount of claims under a compound model assuming some degree of dependence between the random variables Θ₁ and Θ₂. The degree of dependence is modelled using the Sarmanov–Lee family of distributions [Sarmanov, O.V., 1966. Generalized normal correlation and two-dimensional Frechet classes. Doklady (Soviet Mathematics) 168, 596–599 and Ting-Lee, M.L., 1996. Properties and applications of the Sarmanov family of bivariate distributions. Communications Statistics: Theory and Methods 25 (6) 1207–1222], which allows us to study the impact of this assumption on the collective and Bayes net premiums. The results obtained show that a low degree of correlation produces Bayes premiums that are highly sensitive.     

An efficient protocol for the private comparison of equal information based on the triplet entangled state and single-particle measurement

The central theme of this paper is that we propose an efficient protocol for comparing the equal information with the help of a third party (TP). We assume that TP is semi-honest, i.e., TP executes the protocol loyally, keeps a record of all its intermediate computations and might try to steal the players’ private inputs from the record, but he cannot be corrupted by the adversary. The security of this protocol with respect to various kinds of attacks is discussed. Our protocol utilizes the triplet entangled states and the simple single-particle measurement. The particles carried the secret messages do not be repeatedly transmitted. The players’ messages are divided into many groups. Sometimes, the protocol is already successfully completed, but all data are not compared. Thus, many time and huge quantum resources can be saved.