﻿ 方差相关保费原理下基于VaR和CTE下停止–损失再保险的最优自留额比较研究

# 方差相关保费原理下基于VaR和CTE下停止–损失再保险的最优自留额比较研究The Comparison of Optimal Retention for a Loss-Stop Reinsurance with Variance Related Premium Principles under the VaR and CTE Risk Measures

Abstract: This paper considers both the existence and the analytical solution expression of optimal retention for stop-loss reinsurance model based on VaR and CTE, respectively. It is supposed that the aggregate loss X has an exponential distribution, and then the existence of the solution for retention under several premium principles with different premium additional factors is compared by the numerical simulation. The following result is obtained: CTE is superior to VaR for the existence of retention under three kinds of variance related premium principles.

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