数学杂志2026，Vol.46Issue(1)：31-38,8.
最优再保险策略:基于保险人的角度
THE OPTIMAL REINSURANCE STRATEGY:BASED ON THE INSURER'S PERSPECTIVE
李家骐1
作者信息
- 1. 武汉大学数学与统计学院,湖北 武汉 430072
- 折叠
摘要
Abstract
This paper studies the problem of the optimal reinsurance strategy from the perspective of the insurer,and provides the optimal reinsurance strategy under this circumstance.Furthermore,we investigate this problem based on the comprehensive benefits of both the insurer and the insured,and present the form of the optimal reinsurance strategy in this scenario as well as the corresponding sufficient conditions.Within the framework of the expected utility theory,this paper employs second-order stochastic dominance(SSD)to characterize the impact of different reinsurance strategies on the expected utility of total wealth.The results obtained in this paper serve as a supplement to Arrow's theorem.关键词
风险度量/Arrow定理/随机占优/免赔额/最优再保险Key words
risk measurements/Arrow's theorem/stochastic dominance/deductible/optimal reinsurance分类
数理科学引用本文复制引用
李家骐..最优再保险策略:基于保险人的角度[J].数学杂志,2026,46(1):31-38,8.
