OPTIMAL PROPORTIONAL REINSURANCE UNDER DEPENDENT RISKS
- ISSN号:1009-6124
- 期刊名称:《系统科学与复杂性学报:英文版》
- 时间:0
- 分类:O211.67[理学—概率论与数理统计;理学—数学] F842[经济管理—保险]
- 作者机构:[1]Department of Mathematics and Center for Financial Engineering, Soochow University, Suzhou 215006, China, [2]Department of Statistics and Actuarial Science, University of Hong Kong, Hong Kong, China
- 相关基金:This research is supported by the Research Fund for the Doctorial Program of Higher Education under Grant No. 20093201110013 and Science and Technology Foundation of Fujian Education Department under Grant Nos. JA11208 and JB07153.
中文摘要:
这份报纸与薄依赖的结构考虑一个相关风险模型。作者为建议模型在吝啬的变化原则下面调查最大化调整系数的最佳的比例的再保险和最佳的比例的再保险。作者导出最佳的解决方案和数字插图在最佳的再保险安排上在生意的类之中显示出依赖的影响。
英文摘要:
This paper considers a correlated risk model with thinning-dependence structure. The au- thors investigate the optimal proportional reinsurance that maximizes the adjustment coefficient and the optimal proportional reinsurance under mean variance principle for the proposed model. The au- thors derive the optimal solutions and the numerical illustrations to show the impact of the dependence among the classes of business on the optimal reinsurance arrangements.