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

作者: 杨博 , 吴黎军 :新疆大学数学与系统科学学院,新疆 乌鲁木齐;

关键词: VaRCTE停止–损失再保险方差相关保费原理自留额VaR (Value-at-Loss) CTE (Conditional Tail Expectation) Stop-Loss Reinsurance Variance Related Premium Principles Retention

摘要: 本文对停止–损失再保险模型,给出风险度量VaR和CTE值下最优自留额的存在性及解析解表达式。假设损失总量X服从指数分布,并给定几种不同的保费附加因子,通过数值模拟,比较三种方差相关保费原理下自留额解的存在性。比较得出:在三种方差相关保费原理下,CTE下自留额的存在性均优于VaR。

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.

文章引用: 杨博 , 吴黎军 (2016) 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。 统计学与应用, 5, 179-195. doi: 10.12677/SA.2016.52018

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