本文選題：最優(yōu)再保險(xiǎn) + VaR準(zhǔn)則　； 參考：《山東師范大學(xué)》2017年碩士論文

【摘要】：再保險(xiǎn)是保險(xiǎn)人為了分散風(fēng)險(xiǎn),將其所承擔(dān)的風(fēng)險(xiǎn)的一部分轉(zhuǎn)移給再保險(xiǎn)人的一種保險(xiǎn).特別是當(dāng)保險(xiǎn)人面臨巨大風(fēng)險(xiǎn)時(shí),通過(guò)再保險(xiǎn)轉(zhuǎn)移風(fēng)險(xiǎn)是非常有必要的.而再保險(xiǎn)中最關(guān)鍵的問(wèn)題是最優(yōu)再保險(xiǎn),如何選擇最優(yōu)再保險(xiǎn)形式就成為保險(xiǎn)人迫切需要解決的問(wèn)題.目前,已有大量的文獻(xiàn)從保險(xiǎn)人的角度或者從再保險(xiǎn)人的角度研究最優(yōu)再保險(xiǎn).而一份再保險(xiǎn)合同涉及保險(xiǎn)人和再保險(xiǎn)人雙方,并且他們兩者之間具有沖突的利益關(guān)系.保險(xiǎn)人認(rèn)為最優(yōu)的再保險(xiǎn)合同,對(duì)于再保險(xiǎn)人來(lái)說(shuō)未必是最優(yōu)的,甚至有時(shí)是難以接受的.因此,在這篇文章中,我們同時(shí)考慮保險(xiǎn)人和再保險(xiǎn)人雙方的利益,在VaR準(zhǔn)則下研究帕累托最優(yōu)再保險(xiǎn)策略,它可以由保險(xiǎn)人和再保險(xiǎn)人的VaR的凸組合的最小值決定.我們假設(shè)再保險(xiǎn)保費(fèi)原則滿(mǎn)足風(fēng)險(xiǎn)附加和保止損序的性質(zhì),根據(jù)不同的分出損失函數(shù),可以得到不同的最優(yōu)再保險(xiǎn)策略.當(dāng)分出損失函數(shù)是單調(diào)不減的凸函數(shù)時(shí),采用幾何的方法來(lái)確定最優(yōu)再保險(xiǎn)的策略.為了進(jìn)一步證明我們已得到的結(jié)果的適用性,在再保費(fèi)原則為Dutch保費(fèi)原則和Wang's保費(fèi)原則下,分別給出了最優(yōu)再保險(xiǎn)策略下的最優(yōu)參數(shù).當(dāng)分出損失函數(shù)是單調(diào)不減的凹函數(shù)時(shí),求得期望值保費(fèi)原則下的最優(yōu)再保險(xiǎn)策略和最優(yōu)參數(shù).
[Abstract]:Reinsurance is a kind of insurance that the insurer transfers part of the risk to the reinsurer in order to disperse the risk. Especially when the insurer is facing huge risk, it is necessary to transfer the risk through reinsurance. The most important problem in reinsurance is optimal reinsurance. How to choose the optimal reinsurance form is an urgent problem to be solved by the insurer. At present, a large number of literatures have studied optimal reinsurance from the perspective of insurers or reinsurers. A reinsurance contract involves both the insurer and the reinsurer, and they have conflicting interests. The insurer thinks that the optimal reinsurance contract is not necessarily optimal or sometimes unacceptable to the reinsurer. Therefore, in this paper, we consider the interests of both the insurer and the reinsurer at the same time, and study Pareto optimal reinsurance strategy under the VaR criterion, which can be determined by the minimum value of the convex combination of the VaR of the insurer and the reinsurer. We assume that the reinsurance premium principle satisfies the properties of risk addition and stop loss order, and according to different loss function, we can obtain different optimal reinsurance strategies. When the loss function is a monotone convex function, the geometric method is used to determine the optimal reinsurance strategy. In order to prove the applicability of the obtained results, the optimal parameters under the optimal reinsurance policy are given under the Dutch premium principle and the Wang's premium principle, respectively. When the loss function is a monotone concave function, the optimal reinsurance strategy and the optimal parameters are obtained under the expected premium principle.
【學(xué)位授予單位】：山東師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F224;F840.69
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本文編號(hào)：1876184