最优比例与超额损失组合再保险下的破产概率.pdfVIP

535 Vol.53, No.5 20109 ACTA MATHEMATICA SINICA, Chinese Series Sep., 2010 : 0583-1431(2010)05-0857-14 : A 210046 E-mail: liangzhibin111@ 300071 E-mail: jyguo@   Æ, Æ  Æ. Æ, Æ,   Æ , Æ .     , Poisson   , Poisson    . :  ,   Æ  Æ.  ,  . ; ; Poisson ; ÆÆ MR(2000) 62P05, 91B30 0211.63, 0232 Ruin Probabilities under Optimal Combining Quota-Share and Excess of Loss Reinsurance Zhi Bin LIANG School of Mathematical Sciences, Nanjing Normal University, Nanjing 210046, P. R. China E-mail : liangzhibin 111@ Jun Yi GUO School of Mathematical Sciences, Nankai University, Tianjin 300071, P. R. China E-mail : jyguo@ Abstract In this paper, we study the optimal retentions for an insurance company, which intends to reinsure its risk by means of a pure proportional treaty, a pure excess of loss treaty or any combination of the two. Under the criterion of maximizing the adjustment coefficient, the closed form expressions of the optimal results are given not only for the Brownian motion risk model but also for the compound Poisson risk model. : 2008-09-18; : 2010-03-16 : (1070108