王氏保费准则下基于保险人与再保险人双方视角下停止–损失再保险的最优自留额研究

Research on the Optimal Retention for a Loss-Stop Reinsurance from the Perspectives of Both Insurers and Reinsurers under Wang’s Premium Principle

摘要: 这篇文章针对保险精算中停止–损失再保险模型，基于王氏保费准则的基础上，将原保险公司与再保险公司双方面临的风险结合起来考虑，以某种风险度量准则为一定的目标，通过数学工具最小化这一目标，讨论并得出相应的最优解。求解之后，假设保险人的初始面临的损失X服从指数分布，进行数值模拟，来比较最优自留额的值。

Abstract: This article is aimed at the stop-loss model in reinsurance, based on Wang’s premium principle, combined with the perspectives of both the insurer and the reinsurer, taking the convex risk combination of total loss of both parties to the reinsurance contract as the objective function to solve, to find the existence of optimal retention and the expression of the solution. After the solution, it is assumed that if the initial loss X faced by the insurer obeys an exponential distribution, numerical simulations are performed to compare the value of the optimal retention.