具有均值-方差保费原理的最优超额损失再保险

上海大学学报(自然科学版)

具有均值-方差保费原理的最优超额损失再保险

王爱香，秦成林

上海大学理学院，上海 200444

收稿日期:2005-05-17 修回日期:1900-01-01 出版日期:1900-01-01 发布日期:1900-01-01
通讯作者: 秦成林

Optimal XL Reinsurance Using Mean-Variance Premium Principle

WANG Ai-xiang，QIN Cheng-lin

School of Sciences, Shanghai University, Shanghai 200444, China

Received:2005-05-17 Revised:1900-01-01 Online:1900-01-01 Published:1900-01-01
Contact: QIN Cheng-lin

摘要/Abstract

摘要：

考虑具有均值-方差保费原理的超额损失再保险的最优策略问题，沿用Hipp的理论框架，以最小化破产概率为目标，得到一个Hamilton-Jacobi-Bellman方程，并证明了其解的存在性及最优性.

关键词:

超额损失再保险, HJB方程, 检验定理

, 均值-方差保费准则, 破产概率

Abstract:

The optimal dynamic unlimited excess of loss reinsurance using the meanvariance premium principle is studied. Following Hipp's theory, a corresponding HamiltonJacobiBellman equation is obtained to minimize the ruin probability, and existence and optimality of the solution is proved.

Key words: HJB equation, mean-variance premium principle, ruin probability, verification theorem., XL reinsurance

王爱香;秦成林. 具有均值-方差保费原理的最优超额损失再保险[J]. 上海大学学报(自然科学版).

WANG Ai-xiang;QIN Cheng-lin. Optimal XL Reinsurance Using Mean-Variance Premium Principle[J]. Journal of Shanghai University（Natural Science Edition）.