基于偿付能力的最优再保险策略

采用最大索赔再保费定价原则,结合VaR、CTE、TV三种风险测度方法,通过研究最小化偿付不足风险的概率、期望损失以及均方期望超额损失等再保险问题,得到相应的最优再保险策略,并结合案例对各种最优策略进行静态分析.研究发现,当偿付能力基于VaR或者CTE时,最优的再保险策略是去尾停止损失再保险,这说明原保险公司此时应该更注重对中等巨额损失的保障,而没有动力去保障极值损失;当偿付能力基于TV时,最优策略是带限额的停止损失再保险,此时,保险公司为了保证经营的稳定性,势必会将一部分极值损失分保.

The optimal reinsurance strategy based on maximal possible claims principle

Using maximal possible claims principle and combining with the risk measure method of valueat -risk,conditional tail expectation and tail variance,this paper studies the reinsurance problems,which are minimizing the probability of insolvency,the expected loss and the expected square of the excessive loss.We get the optimal reinsurance strategies and analyze the results though a case.According to the investigation, when the solvency is based on the risk measures of value at risk or conditional tail expectation,the optimal reinsurance is truncated stop loss contract,which indicates that the ceding insurance company should pay more attention on the medium huge loss,but not the extreme loss.When the solvency is based on the risk measures of tail variance,the optimal strategy is limited stop loss contract.In this condition,the ceding insurance company must cede a part of their extreme loss in order to maintain long-run stability of their business.