风险调整资本收益率下的最优再保险策略

Optimal Reinsurance Strategies under Return On Risk Adjusted Capital

在均值-方差保费计算原理下给出了最优比例再保险和停止损失再保险策略,从保险人的角度,给出了基于风险调整资本收益率最大的自留风险比率和额度,使得保险人的风险调整资本收益率最大.

The paper addresses to the question of how to purchase proportional reinsurance and stop-loss reinsurance in order to get the insurer＇s maximum risk-adjusted capital rate. In the paper,the contract is priced according to the mean-variance principle. The paper obtains the optimal retention ration and the optimal retention level respectively.