带干扰的相依双险种最优再保险
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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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