基于夏普比率的最优再保险策略

Optimal Reinsurance Strategies under Sharpe Ratio

当保险公司承保巨灾风险时,通过再保险转移风险是非常必要的。再保险是保险人将其承保业务的一部分转移给再保险人的行为,而再保险业务中核心是最优再保险策略问题,即以何种形式分保以及具体分保的额度。本文引入基金业中风险管理和绩效评估等方面常用的指标-夏普比率,构建了基于该指标的再保险策略风险模型.对于分保业务中常见的两种形式:成数再保险和止损再保险,文章通过分析得出使得保险人夏普比率最大化的风险自留比率和风险自留额度。基于夏普比例对最优再保险策略的研究可以为保险公司的再保险业务提供决策依据。

It is very important for an insurer to transfer risks when he underwrites a catastrophe risk. Reinsurance is a process that risk is ceded from an insurer to a reinsurance company. The key problem is how to design optimal reinsurance policy. In terms of Sharpe Ratio, which is commonly used to risk controlling and performance appraisals in financial industry, we construct a risk model in which the insurer＇s Sharpe Ratio is maximized by setting the reinsurance strategies. Considering the quota-share reinsurance and stop-loss reinsurance, we obtain the optimal retention ration and the optimal retention level respectively to reach the maximum of Sharp Ratio. This research is helpful for insurance companies to design reinsurance contracts in practice.