标准差准则下的最优再保险

Optimal reinsurance under the standard deviation principle

本文关注的是在标准差准则下如何进行再保险,使得保险公司和再保险公司的风险波动达到最小.在容许合约类范围内得到了建立最优再保险合约的充分条件.如果再保险公司的风险小于一个给定阈值,我们找到了使保险公司的风险最小的最优再保险合约.在这里,保险公司可以采取三种最一般且有效的风险措施.

This paper concerns how to purchase the reinsurance to minimize both the insurer and the reinsurer＇s risk fluctuation under the standard deviation principle.Sufficient conditions for the optimal reinsurance contract are obtained in the restricted class of admissible contracts.Assume that the reinsurer＇s risk is less than a threshold,and then we find out the optimal reinsurance contract that minimizes the insurer＇s risk.Here the insurer company can take three general and useful risk measures.