On Optimal Proportional Reinsurance and Investment in a Markovian Regime-Switching Economy 

In this paper,the surplus of an insurance company is modeled by a Markovian regimeswitching diffusion process.The insurer decides the proportional reinsurance a...
《Acta Mathematica Sinica》  2012年 第01期 下载次数(106)| 被引次数(13)

OPTIMAL INVESTMENT AND PROPORTIONAL REINSURANCE IN THE SPARRE ANDERSEN MODEL 

From the insurer s point of view,this paper studies the optimal investment and proportional reinsurance in the Sparre Andersen model.Under the criterion of m...
《Journal of Systems Science & Complexity》  2012年 第05期 下载次数(0)| 被引次数(3)

OPTIMAL PROPORTIONAL REINSURANCE UNDER DEPENDENT RISKS 

This paper considers a correlated risk model with thinning-dependence structure.The authors investigate the optimal proportional reinsurance that maximizes t...
《Journal of Systems Science & Complexity》  2012年 第06期 下载次数(0)| 被引次数(1)

Optimal Investment and Excess of Loss Reinsurance with Short-selling Constraint 

This paper considers the optimal control problem with constraints for an insurance company. The risk process is assumed to be a jump-diffusion process and the r...
《Acta Mathematicae Applicatae Sinica(English Series)》  2011年 第03期 下载次数(61)| 被引次数(4)

Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection 

In this paper, the surplus process of the insurance company is described by a Brownian motion with drift. In addition, the insurer is allowed to invest in a ris...
《Science China(Mathematics)》  2010年 第07期 下载次数(110)| 被引次数(18)

OPTIMAL PROPORTIONAL REINSURANCE WITH CONSTANT DIVIDEND BARRIER 

In this article, we consider an optimal proportional reinsurance with constant dividend barrier. First, we derive the Hamilton-Jacobi-Bellman equation satisfied...
《Acta Mathematica Scientia》  2010年 第03期 下载次数(43)| 被引次数(4)

Bivariate Recursive Equations on Excess-of-loss Reinsurance 

This paper investigates bivariate recursive equations on excess-of-loss reinsurance.For aninsurance portfolio,under the assumptions that the individual clai...
《Acta Mathematica Sinica(English Series)》  2007年 第03期 下载次数(11)| 被引次数(0)

Optimal Proportional Reinsurance for Controlled Risk Process which is Perturbed by Diffusion 

In this paper,we study optimal proportional reinsurance policy of an insurer with a risk processwhich is perturbed by a diffusion.We derive closed-form expr...
《Acta Mathematicae Applicatae Sinica》  2007年 第03期 下载次数(18)| 被引次数(25)

CONDITIONAL RECURSIVE EQUATIONS ON EXCESS-OF-LOSS REINSURANCE 

The marginal recursive equations on excess-of-loss reinsurance treaty are investignted, under the assumption that the number of claims belongs to the family ...
《Applied Mathematics and Mechanics(English Edition)》  2006年 第08期 下载次数(43)| 被引次数(1)

OPTIMAL REINSURANCE UNDER EXPECTED VALUE PRINCIPLE 

The paper concerns the problem how to purchase the reinsurance in order to make the insurer and the reinsurance company s total risk to be least under the ex...
《Applied Mathematics A Journal of Chinese Universitie…》  2006年 第04期 下载次数(67)| 被引次数(0)

再保险公司偿付能力监管研究 

本文在回顾了中外偿付能力研究文献的基础上,阐述了再保险公司与原保险公司在偿付能力监管及其影响因素方面的差异,详细介绍了美国和欧盟的保险监管制度,并且将我国第二代偿付能力监管制度体系与之进行对比分析,指出我们可以借鉴的经验。然后以一家再保险公司为实例,通过对2014-2016年的主要经营指标,如所有者权益、资产状况、偿付...
广东财经大学  硕士论文  2017年 下载次数(33)| 被引次数()

我国再保险公司财务风险管理研究 

我国保险业受诸多方面的影响,发展起步较缓,再保险业在这样的大环境下起步就更加慢了,目前我国保险市场还处于发展的初级阶段。目前我国国有再保险公司数量较少,专业从事再保险业务的除了2016年刚成立的太平再保险公司以及人保再保险公司,中国再保险公司占有约80%的市场份额,这导致了我国再保险市场一家独大的局面。反观全球市场,根...
东华大学  硕士论文  2017年 下载次数(370)| 被引次数(1)

Stop-Loss Reinsurance in Uncertain Environment 

Reinsurance is an effective management method which reduces the risk.Stop-loss reinsurance is one of the best forms in reinsurance.In this paper,the model of...
第八届中国不确定系统年会论文集  2010-08-01 下载次数(18)| 被引次数(0)

Optimal Dividend and Capital Injection of the Insurance Company with Proportional Reinsurance Policy 

This paper deals with the optimal control problem of the insurance company with proportional reinsurance policy.By controlling the dynamic reinsurance rate,divi...
第二十九届中国控制会议论文集  2010-07-29 下载次数(29)| 被引次数(0)

王氏保费准则下隐含再保险公司违约风险的最优再保险设计 

本文考虑到再保险公司违约风险对保险人再保险的影响,利用VaR风险度量研究最优再保险策略.在再保险合同中,再保险公司向保险人收取一定的保费,承诺赔偿再保险人面临的部分损失.但,当再保险公司承诺的限额超过其偿付能力就可能发生违约风险.因此,为了避免再保险公司违约风险,使保险公司的总风险最小,本文根据王氏保费准则,运用VaR...
《应用概率统计》  2019年 第01期 下载次数(37)| 被引次数()

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