基于多目标规划的最优再保险策略

Optimal Reinsurance Strategies Based on Multi-Objective Programming

以风险调整资本收益率最大化、偿付能力不足风险最小化为目标,以实际资本水平为约束,建立了最优再保险决策的多目标规划模型。对于成数再保险和停止损失再保险,给出Pareto最优解集,并探讨了公司资本水平对再保险策略的影响。研究发现,当自留水平满足最优解集的范围时,风险调整资本收益率与偿付能力不足风险都随自留水平的增加而增大。当公司资本不充裕时,自留额度的选择受资本水平约束,资本越少,自留额度可选择的范围越小。

Using multi-objective programming, we construct an optimal reinsurance model by maximizing the insurer＇ s RO- RAC, minimizing the risk of insolvency and setting capital constraints. Considering the quota-share reinsurance and stoploss reinsurance, we obtain Pareto optimal solution and discuss how the capital level changes the solution. We find that when the retention level to meet the Pareto optimal solution set, RORAC increases with the increasing of retention, the risk of insolvency also increases, the relationship between RORAC and risk of insolvency is positive. If capital is adequate, the retention level can be choose separately, otherwise the upper limit of retention is affected by capital level. The less capital is, the range of the retention is.