Zhejiang Daxue xuebao. Lixue ban (Jul 2006)

Optimal reinsurance under mean-variance premium principles(标准差计算原理下的最优再保险)

CAOYu-song(曹玉松),
ZHANGYi(张奕)

Affiliations

CAOYu-song(曹玉松): Department of Mathematics, Zhejiang University, Hangzhou 310028, China(浙江大学数学系，浙江杭州 310028)
ZHANGYi(张奕): Department of Mathematics, Zhejiang University, Hangzhou 310028, China(浙江大学数学系，浙江杭州 310028)

DOI
Journal volume & issue: Vol. 33, no. 4
pp. 379 – 382

Abstract

介绍了在标准差计算原理下，如何得出最优再保险的策略，使得保险人和再保险人双方的风险和达到最小.在一个限制条件函数类中，给出了在较为一般的风险测量函数下，最优再保险函数的充分条件.并且，在方差作为风险测量的情形下，给出了最优再保险合同的具体形式，以及最优再保险函数参数的确定方法.

Published in Zhejiang Daxue xuebao. Lixue ban

ISSN: 1008-9497 (Print)
Publisher: Zhejiang University Press
Country of publisher: China
LCC subjects: Science: Mathematics: Instruments and machines: Electronic computers. Computer science; Science: Physics
Website: https://www.zjujournals.com/sci/EN/1008-9497/home.shtml

About the journal