带干扰的相依双险种最优再保险

蒋兰青; 施齐焉

带干扰的相依双险种最优再保险

引用本文：蒋兰青，施齐焉.带干扰的相依双险种最优再保险[J].经济数学,2011,(4):15-19

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作者	单位
蒋兰青，施齐焉	（福州大学数学与计算机科学学院，福建福州350108）

中文摘要:研究一类带干扰的理赔相依的双险种风险模型，其中两险种分别采取成数再保险和超额损失再保险．在期望保费计算原理下，利用调节系数最大化得到成数再保险及超额损失再保险的最优自留水平．

中文关键词:相依风险 Lundberg不等式成数再保险超额损失再保险干扰

The Optimal Reinsurance of Double Insurance Risk Model with Interference and Dependence

Abstract:This paper considered a double-insurance risk model with interference and dependence,where one claim is quota-share reinsurance and the other is excess of loss reinsurance. Under the expected value premium principles, the optimal retention levels for the quota-share reinsurance and excess of loss reinsurance were obtained by maximizing adjustment coefficient.

keywords:dependent risks Lundberg’s inequality quota-share reinsurance excess of loss reinsurance interference

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