發(fā)布時(shí)間：2018-06-02 21:22

  本文選題：混合再保險(xiǎn) + VaR風(fēng)險(xiǎn)度量　； 參考：《哈爾濱理工大學(xué)》2014年碩士論文

【摘要】：本文主要討論了基于VaR風(fēng)險(xiǎn)度量下帶有通貨膨脹率的最優(yōu)再保險(xiǎn)策略，再保險(xiǎn)業(yè)務(wù)中，最重要的就是自留風(fēng)險(xiǎn)與再保費(fèi)用二者的關(guān)系。再保險(xiǎn)分出人同時(shí)希望二者都能比較少，可是，這二者的關(guān)系是相互矛盾的，再保險(xiǎn)分出人若要希望付出較少的再保險(xiǎn)費(fèi)用，自然分出的風(fēng)險(xiǎn)也會(huì)比較少，那么它必然要承受較高的自留風(fēng)險(xiǎn)。顯然，研究保險(xiǎn)公司怎樣處理上述二者的關(guān)系是處理再保險(xiǎn)問題的關(guān)鍵。 首先，本文闡述了VaR的發(fā)展歷史，再保險(xiǎn)、最優(yōu)再保險(xiǎn)和VaR的定義以及再保險(xiǎn)的分類。其次，回顧了一下保費(fèi)原理和VaR風(fēng)險(xiǎn)度量及其最優(yōu)準(zhǔn)則。然后，引用了一些與本文相關(guān)學(xué)者的研究成果。 在此基礎(chǔ)上，，主要論述了通貨膨脹率對(duì)混合再保險(xiǎn)在VaR風(fēng)險(xiǎn)度量下最優(yōu)再保險(xiǎn)的影響。首先，確定了混合再保險(xiǎn)在三種情況下的VaR表達(dá)式。其次，在采用期望值原理進(jìn)行計(jì)算時(shí)，在已知分出比例的情況下，確定了最優(yōu)自留額和VaR表達(dá)式二者的具體形式。再次，采用方差原理計(jì)算，在三種情況下分別確定了未知數(shù)和VaR表達(dá)式的具體形式。這三種情況是未知自留額,未知分出比例和二者全部未知的情況。最后，在上述定理和推論給出后都進(jìn)行了相應(yīng)的舉例說明。
[Abstract]:This paper mainly discusses the optimal reinsurance strategy with inflation rate based on the VaR risk measurement. In the reinsurance business, the most important thing is the relationship between the retention risk and the reinsurance cost. The reinsurance divider also hopes that both can be less, but the relationship between the two is contradictory. If the reinsurance splitter wants to pay less reinsurance fees, the risk will naturally be less. Then it must bear a higher risk of retention. Obviously, it is the key to deal with the reinsurance problem to study how the insurance companies deal with the relationship between the two. Firstly, this paper describes the history of VaR, the definition of reinsurance, optimal reinsurance and VaR, and the classification of reinsurance. Secondly, the premium principle, VaR risk measurement and its optimal criterion are reviewed. Then, some research results related to this paper are cited. On this basis, the effect of inflation rate on optimal reinsurance under VaR risk measurement is discussed. First, the VaR expression for mixed reinsurance in three cases is determined. Secondly, when the expected value principle is used to calculate, the concrete forms of the optimal retention amount and the VaR expression are determined under the condition of the known split ratio. Thirdly, the concrete forms of the unknown number and the VaR expression are determined in three cases by using the variance principle. These three cases are unknown retention rate, unknown separation ratio and both unknown. Finally, the corresponding examples are given after the above theorems and deductions are given.
【學(xué)位授予單位】：哈爾濱理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F840.69;F820.5

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本文編號(hào)：1970246