摘要
本文对双险种风险模型,在一险种采取比例再保险,另一险种采取超出损失再保险策略下,得到调节系数与再保险自留水平之间的函数关系式,在理赔额为指数分布和Erlang(2)分布的条件下,得到最优比例再保险和超出损失再保险的自留水平,以及调节系数最大值。
In this paper, we study the double - insurance risk mode under one claim with proportional reinsurance and the other with excess of loss reinsurance. The function relationship between the adjustment coefficient and the reinsurance retention level is given. We also obtain the optimal proportional reinsurance and excess of loss reinsurance retention levels, as well as the maximal adjustment coefficient as the claims amount distribution are exponential distribution and Erlang（2） distribution. Keywords Ruin probability Lundberg＇ s inequality Adjustment coefficient Proportional reinsurance Excess - loss reinsurance
出处
《数学理论与应用》
2010年第2期101-104,共4页
Mathematical Theory and Applications
