本文選題：雙目標　切入點：風險資本調(diào)整收益率　出處：《沈陽航空航天大學》2014年碩士論文

【摘要】：再保險優(yōu)化問題是人們十分關(guān)注的問題之一，并且也有很多的學者對其進行研究探討�？墒�，再保險優(yōu)化方面的理論仍有許多地方需要完善。所以，仍然需要我們繼續(xù)研究探討。 本文采用風險調(diào)整資本收益率（RORAC）來衡量保險公司和再保險公司的利潤，采用風險損失的方差來衡量保險公司和再保險公司的風險損失波動情況，從而建立了基于雙目標的成數(shù)再保險優(yōu)化模型，通過模型的建立和實例分析，得到了成數(shù)再保險的最優(yōu)自留比例，并分析了風險偏好與最優(yōu)自留比例之間的關(guān)系——風險偏好與最優(yōu)自留比例成負向關(guān)系。再者，本文用Matlab編程軟件分別分析了最優(yōu)自留比例和風險偏好與再保雙方利益的關(guān)系。隨著風險偏好權(quán)重的增加，即決策者（保險公司）越重視風險，最優(yōu)自留比例越小，保險公司的利益和風險均趨向于減小的，，然而再保險公司的利益和風險則是隨之增大的。在0.1~0.5之間，隨著增大，保險公司和再保險公司的利益和風險均變化較大；在0.5~0.9之間，隨著增大，無論是保險公司還是再保險公司的風險和利益都波動很小，幾乎收斂到某一個數(shù)。以上就是本文研究的主要內(nèi)容和成果。
[Abstract]:The problem of reinsurance optimization is one of the problems that people pay close attention to, and many scholars have studied it. However, the theory of reinsurance optimization still needs to be perfected. We still need to continue to study and explore. In this paper, the risk-adjusted capital rate of return (RORAC) is used to measure the profits of insurance companies and reinsurance companies, and the variance of risk losses is used to measure the volatility of risk losses of insurance companies and reinsurance companies. Thus, the optimization model of compound reinsurance based on double objectives is established, and the optimal retention ratio of composite reinsurance is obtained through the establishment of the model and the analysis of examples. The relationship between risk preference and optimal retention ratio is also analyzed-risk preference has a negative relationship with optimal retention ratio. In this paper, Matlab programming software is used to analyze the relationship between optimal retention ratio, risk preference and the interests of both parties. With the increase of the weight of risk preference, that is, the more the decision maker (insurance company) attaches importance to risk, the smaller the optimal retention ratio is. The interests and risks of the insurance companies tend to decrease, while the interests and risks of the reinsurance companies increase. Between 0.1 and 0.5, the interests and risks of the insurance companies and the reinsurance companies vary greatly; between 0.5 and 0.9, With the increase of risk and profit of insurance company and reinsurance company, the fluctuation of risk and profit is very small and almost converges to a certain number. The above is the main content and achievement of this paper.
【學位授予單位】：沈陽航空航天大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：O221.6;F842.69

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