| 两相依风险模型下的最优再保险 |
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| 引用本文： | 常健.两相依风险模型下的最优再保险[J].南京邮电大学学报(自然科学版),2008,28(6). |
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| 作者姓名： | 常健 |
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| 作者单位： | 南京邮电大学,数理学院,江苏,南京,210003 |
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| 摘 要： | 在两相依风险较为一般的保费计算原理下,如何得出最优再保险的策略,使得原保险人的效用达到最大.在指数效用函数下,给出了最优再保险的充分条件,并且在方差保费计算原理下,给出了最优再保险合同的具体形式,为实际保险业务中再保险比例最优分配提供了理论依据.
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| 关 键 词： | 最优再保险 相依风险 方差保费计算原理 效用函数 |
The Optimal Reinsurance Under Two Dependent Risks |
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| CHANG Jian.The Optimal Reinsurance Under Two Dependent Risks[J].Journal of Nanjing University of Posts and Telecommunications,2008,28(6). |
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| Authors: | CHANG Jian |
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| Institution: | CHANG Jian College of Mathematics , Physics,Nanjing University of Posts , Telecommunications,Nanjing 210003,China |
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| Abstract: | The problem about how to purchase reinsurance of insurance is concerned in order to make profit most.The contract is priced according to ordinary principles and two dependent risks.Sufficient conditions for optimality of reinsurance contract are given under the utility of exponention.Furthermore,it gives the example that the explicit forms of optimal contract under the variance premium principles,providing theoretical method by the share of total loss in insurance field. |
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| Keywords: | Reinsurance Dependent risks Variance premium principles Utility function |
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