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Optimal reinsurance under expected value principle
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The paper concerns the problem how to purchase the reinsurance in order to make the insurer and the reinsurance company's total risk to be least under the expected value principle.
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When the insurer and reinsurance company take arbitrary risk measures, sufficient conditions for optimality of reinsurance contract are given within the restricted class of admissible contracts.
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Further, the explicit forms of optimal reinsurance contract under several special risk measures are given, and the method to decide parameters as well.
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On ruin probability minimization under excess reinsurance
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| | Since the moral hazard,the adverse selection and the credit hazard problems and so on,exist in traditional (re)insurance,it is difficult to disperse the flood hazard effectively. Therefore,it is necessary to find an effectual financial tool to transfer the flood hazard to the capital market.On the basis of building the concept system of flood insurance bond, this article expatiates the differences between the general bond and traditional reinsurance bond.From the view of economics and actuarial science... | | 由于传统(再)保险,难以将洪灾风险进行有效的分散,因此,有必要寻求有效的金融工具将洪灾风险向资本市场转移。在建立洪水保险债券的概念框架基础上,阐述了与普通债券及传统再保险的区别。从经济学和精算学的角度对洪水保险债券进行分析,揭示了洪水保险债券定价机制。通过研究洪水保险债券的运作模式,分析了我国洪水保险债券的发行条件与发展思路,指出洪水保险债券为我国防洪减灾提供了可资借鉴的崭新方法与工具。 | | 文摘来源 | |   |
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