相依风险下的超额赔款再保险

Excess of Loss Retention in Dependent Risks Model

本文通过求二次效用函数的货币期望效用的最大值来确定自留额,认为索赔次数服从二元泊松分布,超额赔款再保险的保费按期望值原理进行计算。

The paper deals with the optimal excess of loss retention limits by maximizing the expected utility of wealth with respect to the quadratic utility function. The author holds that the number of claims is generated by a bivariate Poisson distribution. The premium calculation principle used for the excess of loss treaties is the expected value principle.