基于VaR和CTE的凸组合最优再保险研究.pdf

摘 要 再保险是一种有效的风险管理策略，在保险行业中扮演着至关重要的作 用。再保险提出初期，大多数学者都只仅仅考虑了原保险人，但是一份再保 险合同涉及原保险人和再保险人双方，并且双方具有相互冲突的利益关系。 因此，近几年越来越多的学者开始考虑再保险双方的共同利益。 本文同时考虑原保险人和再保险人双方的利益。首先，通过介绍再保险 的经典文献，引出再保险交易中三个重要组成部分：保费原则，分保损失函 数和优化准则，并对这三部分分别进行了具体描述。同时也给出VaR和CTE 的 定义以及它们的基本性质。 其次，在原保险人的损失服从指数分布和保费原则为期望值保费原则的 条件下，以原保险人和再保险人各自总损失的VaR 的凸组合为目标函数，得到 混合再保险中最优比例系数和最优自留额的理论解，并对最优解的各种情况 进行了讨论和分析，为保险公司的风险管理提供了决策依据。 最后，研究了在VaR和CTE优化准则下，以再保险双方各自总损失的VaR和CTE 的 凸组合为目标函数，当分保损失函数为指定的递增凸函数类时最小化目标函 数，推导出两类递增凸函数中对应的分保损失函数的具体形式。 关键词: 期望值保费原则；VaR ；CTE ；凸组合 I Reinsurance is an effective risk management strategy, which plays an important role in the insurance industry. At the beginning of reinsurance, most scholars only considered the insurer, but a reinsurance contract involves both the insurer and the reinsurer, and both parties have conflicting interests. Therefore, in recent years, more and more scholars began to consider the common interests of reinsurance parties. This paper considers the interests of both the original insurer and the reinsurer. Firstly, by introducing the classical literature of reinsurance, this paper introduces three important parts of reinsurance transaction: premium principle, ceded loss function and optimization criterion, and describes them respectively. At the same time, the definitions of VaR and CTE and their basic properties are given. Secondly, under the condition that the loss of the insurer obeys the exponential distribution and the premium principle is the expected value premium principle, the convex combination of VaR of the total loss of the insurer and the reinsurer is taken as the objective function.Through the discussion and analysis of various situations, the theoretica