Reinsurance is an effective risk management tool for insurers to stabilize their profitability. In a typical reinsurance treaty, an insurer cedes part of the loss to a reinsurer. As the insurer faces an increasing num...Reinsurance is an effective risk management tool for insurers to stabilize their profitability. In a typical reinsurance treaty, an insurer cedes part of the loss to a reinsurer. As the insurer faces an increasing number of total losses in the insurance market, the insurer might expect the reinsurer to bear an increasing proportion of the total loss, that is the insurer might expect the reinsurer to pay an increasing proportion of the total claim amount when he faces an increasing number of total claims in the insurance market. Motivated by this, we study the optimal reinsurance problem under the Vajda condition. To prevent moral hazard and reflect the spirit of reinsurance, we assume that the retained loss function is increasing and the ceded loss function satisfies the Vajda condition. We derive the explicit expression of the optimal reinsurance under the TVaR risk measure and TVaR premium principle from the perspective of both an insurer and a reinsurer. Our results show that the explicit expression of the optimal reinsurance is in the form of two or three interconnected line segments. Under an additional mild constraint, we get the optimal parameters and find the optimal reinsurance strategy is full reinsurance, no reinsurance, stop loss reinsurance, or quota-share reinsurance. Finally, we gave an example to analyze the impact of the weighting factor on optimal reinsurance.展开更多
为分析智能软开关(soft open point,SOP)连续调节能力对柔性配电网(flexible distribution network,FDN)风险的影响。首先,实现基于三点估计的FDN风险评估方法;采用三点估计法结合交直流交替迭代法和Gram-Charlier级数展开法进行FDN概...为分析智能软开关(soft open point,SOP)连续调节能力对柔性配电网(flexible distribution network,FDN)风险的影响。首先,实现基于三点估计的FDN风险评估方法;采用三点估计法结合交直流交替迭代法和Gram-Charlier级数展开法进行FDN概率潮流计算,获得节点电压与支路有功功率的概率密度函数,使用越限偏移量结合风险偏好型效用函数构建严重度函数,根据风险评估理论建立并计算风险评估指标。其次,在此基础上,提出一种计及SOP参数优化的FDN风险评估方法;以系统总风险最低为目标,建立计及SOP参数优化的FDN风险评估模型,采用粒子群优化算法结合基于三点估计的FDN风险评估方法对其进行求解,用得到的结果去配置SOP,并对此FDN进行风险评估。以3个IEEE 33节点网络通过三端口SOP互联形成的FDN为例,验证了所提风险评估方法的有效性,分析了SOP连续调节能力以及不同接入位置对FDN风险的影响。展开更多
文摘Reinsurance is an effective risk management tool for insurers to stabilize their profitability. In a typical reinsurance treaty, an insurer cedes part of the loss to a reinsurer. As the insurer faces an increasing number of total losses in the insurance market, the insurer might expect the reinsurer to bear an increasing proportion of the total loss, that is the insurer might expect the reinsurer to pay an increasing proportion of the total claim amount when he faces an increasing number of total claims in the insurance market. Motivated by this, we study the optimal reinsurance problem under the Vajda condition. To prevent moral hazard and reflect the spirit of reinsurance, we assume that the retained loss function is increasing and the ceded loss function satisfies the Vajda condition. We derive the explicit expression of the optimal reinsurance under the TVaR risk measure and TVaR premium principle from the perspective of both an insurer and a reinsurer. Our results show that the explicit expression of the optimal reinsurance is in the form of two or three interconnected line segments. Under an additional mild constraint, we get the optimal parameters and find the optimal reinsurance strategy is full reinsurance, no reinsurance, stop loss reinsurance, or quota-share reinsurance. Finally, we gave an example to analyze the impact of the weighting factor on optimal reinsurance.
文摘为分析智能软开关(soft open point,SOP)连续调节能力对柔性配电网(flexible distribution network,FDN)风险的影响。首先,实现基于三点估计的FDN风险评估方法;采用三点估计法结合交直流交替迭代法和Gram-Charlier级数展开法进行FDN概率潮流计算,获得节点电压与支路有功功率的概率密度函数,使用越限偏移量结合风险偏好型效用函数构建严重度函数,根据风险评估理论建立并计算风险评估指标。其次,在此基础上,提出一种计及SOP参数优化的FDN风险评估方法;以系统总风险最低为目标,建立计及SOP参数优化的FDN风险评估模型,采用粒子群优化算法结合基于三点估计的FDN风险评估方法对其进行求解,用得到的结果去配置SOP,并对此FDN进行风险评估。以3个IEEE 33节点网络通过三端口SOP互联形成的FDN为例,验证了所提风险评估方法的有效性,分析了SOP连续调节能力以及不同接入位置对FDN风险的影响。
