再保险最优化模型分析

【作者】 王刚；

【导师】 张琳；

【作者基本信息】 湖南大学 ， 金融学， 2003， 硕士

【摘要】 本文主要在微观层面上分析了再保险研究中一个突出的问题：再保险最优化。从原保险人利用再保险转移风险的目的出发，本文集中讨论了均值方差原理、效用原理及夏普比率(风险收益比率)下的再保险最优化模型，三种原理的含义、基本思想及所适用的条件。 目前，我国已加入世界贸易组织(WTO)，距离再保险市场的完全开放仅有几年的时间。在这样的背景下，特别是在保险还远远滞后于西方发达国家的情况下，再保险的经营，尤其是科学的分保安排显得至关重要。它关系到再保险功能的有效发挥，关系到保险业的健康发展，关系到中国再保险业的国际核心竞争力。 全文共分四个部分 第一章是绪论，介绍了选题背景及意义，引出再保险最优化的问题，概述了再保险最优化方法，阐述了研究的主要内容与结构安排。第二章讨论了均值方差原理下的再保险最优化模型及其适用条件，针对停止损失再保险，得出个体模型与集合模型下的最优结论。第三章讨论了效用理论下的再保险最优化模型及适用条件，并讨论了最优策略的性质。第四章讨论了夏普比率下的再保险最优化模型及其适用条件，推出了更一般的模型。 本文的创新主要体现在下面两个方面： 1．对所收集到的资料进行系统的归纳和整理，提出了再保险最优化的定义，总结了再保险最优化的思想方法。 2．在夏普比率下的再保险最优化模型的讨论中，依据基本的优化思想，采用定量与定性分析相结合的方法，得出保险风险组合与财务风险组合下的最优化结论。更多还原

【Abstract】 This paper primarily focuses on one issue in the field of reinsurance research: reinsurance optimization. With the perspective of risk transferring, this thesis focuses on discussing the reinsurance optimization model under mean-variance principle, utility theory and sharpe’s ratio, their meanings, basic ideas and conditions applicable.At present, China has been a member of WTO. It is not long before the fully opening up of Chinese reinsurance market. Reinsurance operation, especially the scientific arrangement of ceding business is of great importance to insurance company. It relates to reinsurance function’s developing effectively, relates to insurance industry’s healthy development, relates to internationally core competition ability of Chinese reinsurance industry.This thesis consists of four chapters as the following: Chapter 1 is introduction, introduces backgrounds and meaning of theme selection, then arises out of the problem of reinsurance optimization, summarizes the methods of reinsurance optimization, expatiates on the main content and the framework. Chapter 2 discusses reinsurance optimization model under mean-variance principle. Aiming at change stop loss reinsurance, it derives optimal conclusions of both individual model and collective model. Chapter 3 discusses reinsurance optimization model under utility theory and the conditions applicable, then discusses the properties of optimal tactics. Chapter 4 discusses reinsurance optimization model under sharpe’s ratio and the conditions applicable, it derives more general model.The innovations in this thesis may be as follows:1.Generalizing the material collected systematically, putting forward to the concept of reinsurance optimization, summarizing the theoretic approach of reinsurance optimization.2. During the discussion of reinsurance optimization under sharpe’s ratio, it derives the conclusions of optimization with the combination of insurance risk and financial risk through quantitative and qualitative analysis.更多还原