Sharpe指数下的再保险人最优策略研究——基于方差保费准则的实证分析

再保险人通过再保险帮助原保险人分散风险,同时再保险人也要考虑自身的风险和收益。本文在方差保费原则下,将Sharpe指数作为衡量再保险人最优再保险策略的指标,通过研究两种常见的再保形式:成数再保险和停止损失再保险,给出相应的最优承担的分保额度。基于Sharpe指数对最优再保险策略的研究可以为再保险公司的再保险业务提供决策依据。

Reinsurers spread the risk for insurers, and also consider their own risk and income. In this paper, we use Sharpe ratio as a measure of optimal reinsurance policies for reinsurers under variance premium principle. And we obtain the optimal retention limit of two common reinsurance forms respectively： Quota Share and Stop -Loss reinsurances. This research is helpful for reinsurance companies to design reinsurance contracts in practice.