最大化调节系数的最优停止损失再保险和破产概率

The Optimal Stop-loss Reinsurance and Ruin Probability of Maximum Adjustment Coefficient

在保费按期望-标准差方式收取的条件下,本文研究调节系数最大及破产概率最小的最优停止损失再保险策略。当赔付额为指数分布或Erlang(2)分布时,得到相应破产概率、最大调节系数及最优停止损失再保险策略满足的方程。经数值分析,得出最优停止损失再保险策略、最大调节系数以及破产概率与各参数之间的关系。

Under the mean-standard deviation premium,the optimal stop-loss reinsurance policy with the largest adjustment coefficient and the smallest ruin probability is studied.When the claim amount is an ex⁃ponential distribution or an Erlang 2 distribution,the equations of the ruin probability,the maximum adjust⁃ment coefficient and the optimal stop-loss reinsurance policy are obtained.Finally,the influence of the param⁃eters on the retention and maximum adjustment coefficient and ruin probability is obtained by numerical analy⁃sis.