具有免赔额保险产品的最优自留额

The Optimal Retention of Insurance Products with Deductible

摘要: 为了寻找具有免赔额的保险产品在停止损失再保险协议下的最优自留额。首先，在风险度量VaR和CTE下文章介绍保险产品加入免赔额的损失的最优再保险模型，并且给出了最优再保险模型的最优自留额。接着，在每次损失分布服从指数分布的情况下，给出了加入免赔额的总损失的生存函数的具体形式。最后，文章给出了具体的数值模拟。

Abstract: In order to find the optimal retention of insurance products with deductible under the stop-loss reinsurance treaty, first, under risk measures VaR and CTE, the paper introduces the optimal reinsurance model for the deductible loss of insurance products, and gives the optimal retention of the optimal reinsurance model. Then, it gives that each loss distribution obeys the exponential distribution, the specific form of the survival function for the total loss added to the deductible is given. Finally, the paper gives a specific numerical simulation.