| Optimal Reinsurance with Probabilistic Constraints under Distortion Risk Measure北大核心CSCD |
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| 引用本文： | 朱建章,刘章,王心彦,胡亦钧.Optimal Reinsurance with Probabilistic Constraints under Distortion Risk Measure北大核心CSCD[J].数学学报,2022(6):1123-1136. |
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| 作者姓名： | 朱建章 刘章 王心彦 胡亦钧 |
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| 作者单位： | 1.河南财经政法大学数学与信息科学学院450046;2.江西农业大学计算机与信息工程学院330045;3.厦门大学数学科学学院361005;4.武汉大学数学与统计学院430072; |
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| 基金项目： | 国家自然科学基金资助项目(11771343)；江西省高校人文社会科学研究项目(JC20203)；河南省自然科学基金(21B110001)。 |
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| 摘 要： | We follow Cheung and Lo Scandinavian Actuarial Journal] and Chi et al. Insurance: Mathematics and Economics] to investigate the optimal reinsurance problem where risks of the insurer is measured by distortion risk measures, and premiums are calculated under the generalized distortion premium principle. Our novelty is the inclusion of constraints on the maximum level of risk the reinsurer can tolerate. Our objective is to seek for all the optimal reinsurance strategies which minimize the insurer’s risk measurement of its total loss under the stipulated constraints. © 2022 Chinese Academy of Sciences. All rights reserved.
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| 关 键 词： | 再保险 扭曲风险度量 广义扭曲保费准则 风险约束 |
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