| 效用函数下的最优再保险策略 |
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| 引用本文： | 曹玉松.效用函数下的最优再保险策略[J].许昌学院学报,2010,29(2):4-6. |
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| 作者姓名： | 曹玉松 |
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| 作者单位： | 许昌学院,计算机科学与技术学院,河南,许昌,461000 |
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| 基金项目： | 河南省教育厅自然科学基金 |
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| 摘 要： | 从再保险公司的角度出发,根据再保险公司的风险偏好及投资收益情况,在投资基金价格服从带漂移的几何布朗运动的假定下,应用效用理论给出了最优再保险的定价策略.
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| 关 键 词： | 效用函数 几何布朗运动 比例再保险 超额损失再保险 |
Optimal Reinsurance under Utility Functions |
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| CAO Yu-song.Optimal Reinsurance under Utility Functions[J].Journal of Xuchang University,2010,29(2):4-6. |
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| Authors: | CAO Yu-song |
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| Institution: | CAO Yu-song(College of Computer Science , Technology,Xuchang University,Xuchang 461000,China) |
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| Abstract: | On the assumption that investment fund follows the geometric Brownian motion,the paper concerns the problem about the pricing of the reinsurance and gives the optimal strategy from the point view of the reinsurance company,and all the study is based on the reinsurance company's risk preference and investment income,which has a guiding significance to the reinsurance. |
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| Keywords: | utility function geometric Brownian motion proportional reinsurance excess-loss reinsurance |
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