Optimal insurance and reinsurance policies chosen jointly in the individual risk model
Optimal insurance and reinsurance policies chosen jointly in the individual risk model
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DOI：
10.1080/03461238.2014.918696
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发表时间：
2016-03
影响因子：
1.8
通讯作者：
A. Y. Golubin
中科院分区：
文献类型：
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作者：
A. Y. Golubin
本文研究了个人风险模型，即保险人为了最大化其预期效用，联合选择一份按赔付保险单和一份再保险单。保险费和再保险费由期望值原则确定。在对再保险人的风险和被保险人的剩余风险施加额外限制的情况下，问题得以解决。结果表明：最优再保险是对停损再保险政策的修正，即有上限的停损再保险；最优保险人的赔付是停损保单和免赔额保单的组合。给出了指数效用函数情形下的数值算例。考虑了模型参数变化对最优保险和再保险策略的影响。
The paper studies the so-called individual risk model where both a policy of per-claim insurance and a policy of reinsurance are chosen jointly by the insurer in order to maximize his/her expected utility. The insurance and reinsurance premiums are defined by the expected value principle. The problem is solved under additional constraints on the reinsurer’s risk and the residual risk of the insured. It is shown that the solution to the problem is the following: The optimal reinsurance is a modification of stop-loss reinsurance policy, so-called stop-loss reinsurance with an upper limit; the optimal insurer’s indemnity is a combination of stop-loss- and deductible policies. The results are illustrated by a numerical example for the case of exponential utility function. The effects of changing model parameters on optimal insurance and reinsurance policies are considered.