再保险人视角下最优自留额研究
Research on the Optimal Retention from the Perspectives of Reinsurer
摘要: 本文对再保险中停止–损失再保险进行了研究。从再保险人视角，基于保险人风险总约束的情况下，求出VaR (Value-at-Risk)风险度量下再保险人面临总风险最小值的最优自留额。最后，我们对求解的结果进行数值模拟，比较不同情况下的值。
Abstract: In this paper, the stop-loss reinsurance model is adopted. Based on the constrains of insurer’s total individual risk, we obtain the optimal retention by minimizing the value of reinsurer’s total in-dividual risk in the risk measurement of VaR (Value-at-Risk). In the last, we simulate the result to compare with different conditions.
文章引用：谢靓艺, 连熠瑾, 刘予茜. 再保险人视角下最优自留额研究[J]. 理论数学, 2023, 13(2): 325-331. https://doi.org/10.12677/PM.2023.132036

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