| 摘要: |
| 本文从保险人的角度研究了最优再保险策略问题, 并给出了此时的最优再保险策略.进一步, 我们从保险人和被保险人综合效益出发研究了该问题,并给出了此时最优再保险策略的形式以及对应的充分条件.本文在期望效用理论的框架下,通过二阶随机占优来刻画不同的再保险策略对总财富期望效用的影响.本文所获结果是对Arrow定理的一种补充. |
| 关键词: 风险度量 Arrow定理 随机占优 免赔额 最优再保险 |
| DOI： |
| 分类号:O211.5 |
| 基金项目: |
|
| THE OPTIMAL REINSURANCE STRATEGY: BASED ON THE INSURER’S PERSPECTIVE |
|
LI Jia-qi
|
|
School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China
|
| Abstract: |
| This paper studies the problem of the optimal reinsurance strategy from the perspective of the insurer, and provides the optimal reinsurance strategy under this circumstance. Furthermore, we investigate this problem based on the comprehensive benefits of both the insurer and the insured, and present the form of the optimal reinsurance strategy in this scenario as well as the corresponding sufficient conditions. Within the framework of the expected utility theory, this paper employs second-order stochastic dominance(SSD) to characterize the impact of different reinsurance strategies on the expected utility of total wealth. The results obtained in this paper serve as a supplement to Arrow’s theorem. |
| Key words: risk measurements Arrow’s theorem stochastic dominance deductible optimal reinsurance |
