中文摘要：

受到文献[1]和文献[2]的启发,本文从保险人的角度,研究了GlueVaR失真风险度量下的最优再保险问题.假设保险标的的损失为X,保险人为分散风险签订了以索赔总额为计算基础的分保合同.按合同,分保人承担的风险为f（X）,保险人承担剩下的风险X-f（X）.此外基于期望保费原则,保险人需支付分保人再保险费（1＋ρ）E[f（X）]（其中ρ为安全负载系数）.采用文献[2]中的技术方法,我们得出此时最优转移损失函数是一类增凸函数.从而可知最优再保险策略为停止损失再保险.

英文摘要：

Motivated by [1] and [2], we study in this paper the optimal （from the insurer,s pointof view） reinsurance problem when risk is measured by a general risk measure, namely the GlueVaR distortion risk measures which is firstly proposed by [3]. Suppose an insurer is exposed to the risk X and decides to buy a reinsurance contract written on the total claim amounts basis, i.e. the reinsurer covers f （X） and the cedent covers X - f （X ）. In addition, the insurer is obligated to compensate the reinsurer for undertaking the risk by paying the reinsurance premium, （1 ＋ p）E[f （X）] （p is the safety loading）, under the expectation premium principle. Based on a technique used in [2], this paper derives the optimal ceded loss functions in a class of increasing convex ceded loss functions. I t turns out that the optimal ceded loss function is of stop-loss type.