| 基于均值方差模型的最优巨灾保险计划 |
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| 引用本文： | 徐为山,杨朝军,肖彦明.基于均值方差模型的最优巨灾保险计划[J].上海交通大学学报,2006,40(4):632-635,640. |
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| 作者姓名： | 徐为山 杨朝军 肖彦明 |
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| 作者单位： | 上海交通大学,安泰经济与管理学院,上海,200052 |
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| 摘 要： | 针对一家风险厌恶保险公司,构造了一个由巨灾期权和再保险组合而成的巨灾保险计划,借用标准均值方差模型,分析了巨灾期权和再保险的最优组合安排.研究表明,巨灾期权与再保险结合可以拓展保险的机会集合和改进效率,且最优解还受到巨灾期权和再保险的交易成本影响.
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| 关 键 词： | 均值方差模型 最优保险 巨灾期权 再保险 |
| 文章编号： | 1006-2467（2006）04-0632-04 |
| 收稿时间： | 2005-04-21 |
| 修稿时间： | 2005-04-21 |
An Optimal Catastrophe Insurance Scheme Based on Mean Variance Model |
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| XU Wei-shan,YANG Zhao-jun,XIAO Yan-ming.An Optimal Catastrophe Insurance Scheme Based on Mean Variance Model[J].Journal of Shanghai Jiaotong University,2006,40(4):632-635,640. |
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| Authors: | XU Wei-shan YANG Zhao-jun XIAO Yan-ming |
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| Institution: | Antai School of Economics and Management, Shanghai Jiaotong Univ. , Shanghai 200052, China |
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| Abstract: | This paper considers the optimal insurance of a risk aversion insurance company,where insurance company can use catastrophe option and reinsurance separately.A catastrophe risk management scheme is constructed by using catastrophe option and reinsurance.The results suggest that combining catastrophe option with reinsurance may extend the opportunity set and lead to efficiency gains basing on the mean variance model.Naturally,the results also depend on the transaction costs associated with the both instruments. |
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| Keywords: | mean variance model optimal insurance catastrophe option reinsurance |
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