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。
We study the insurer＇s adjustment coefficient as a function of retention levels for combinations of quotashare 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 Esseher premium principle.
出处
《数理统计与管理》
CSSCI
北大核心
2007年第4期641-648,共8页
Journal of Applied Statistics and Management
基金
国家自然科学项目(No.10271049)
