| 关于再保险效应的注记 |
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| 引用本文： | 李洪静,宋立新,杜宇静,George Fe-gan. 关于再保险效应的注记[J]. 数理统计与管理, 2007, 26(4): 641-648 |
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| 作者姓名： | 李洪静 宋立新 杜宇静 George Fe-gan |
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| 作者单位： | 大连理工大学应用数学系,大连,116023,中国;吉林农业科技学院基础部,吉林,132101,中国;圣克拉拉大学应用数学系,加利福尼亚 95053,美国 |
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| 摘 要： | 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。
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| 关 键 词： | Sparre Anderson模型 调整系数 再保险 超额损失 成数分保 超额损失再保险与成数分保的组合 Esscher保费原则 |
| 文章编号： | 1002-1566（2007）04-0641-08 |
| 修稿时间： | 2006-11-10 |
A Note on the Effects of Reinsurance |
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| Hong-jing LI,Lixin SONG,Yu-jing DU,George Fe-gan. A Note on the Effects of Reinsurance[J]. Application of Statistics and Management, 2007, 26(4): 641-648 |
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| Authors: | Hong-jing LI Lixin SONG Yu-jing DU George Fe-gan |
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| Affiliation: | 1,2 Department of Applied Mathematics, Dalian University of Technology, Dalian 116023, P. R. China ; 3 Department of Foundation, Jilin Agriculture Science and Technology College, Jilin 132101 ,P. R. China ; 4 Applied Mathematics Office, Santa Clara University, California, 95053, USA |
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| Abstract: | We study the insurer's adjustment coefficient as a function of retention levels for combinations of quota-share with excess of loss reinsurance in the Sparre Anderson model.We show that the insurer's adjustment coefficient is increasing in M under some conditions when the quota-share reinsurance premium is calculated on original terms and when the excess of loss premium is calculated according to the Esscher premium principle. |
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| Keywords: | Sparre Anderson model adjustment coefficient reinsurance excess of loss quota-share combinations of quota-share with excess of loss reinsurance Esscher premium principle |
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