| 线性相依风险下的超额赔款再保险 |
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| 引用本文： | 张峰.线性相依风险下的超额赔款再保险[J].兵团教育学院学报,2010,20(4):43-46. |
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| 作者姓名： | 张峰 |
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| 作者单位： | 石河子大学,师范学院/兵团教育学院,新疆,石河子,832003 |
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| 摘 要： | 本文从保险人的角度研究对两类相依风险的超额赔款再保险的最优自留额问题。考虑指数效用函数的货币期望效用原则和自留累积损失的调节系数原则，得到关于这两个问题的最优解的方程。
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| 关 键 词： | 超额再保险 指数效用函数 调节系数 相依风险 |
Excess of Loss Retention Limits for Linear Dependent Risks |
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| ZHANG Feng.Excess of Loss Retention Limits for Linear Dependent Risks[J].Journal of Bingtuan Education Institute,2010,20(4):43-46. |
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| Authors: | ZHANG Feng |
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| Institution: | ZHANG Feng (Teachers College of Shihezi University/Bingtuan Education Institute,Shihezi,Xinjiang 832003,China) |
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| Abstract: | In this paper we study,from the insurance point of view,the optimal excess of loss retention limits for linear dependent risks.Considering the expected utility of wealth with respect to the exponential utility function and the adjustment coefficient of the retained aggregate claims amount,We obtain the equation of optimal solution for both problems. |
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| Keywords: | Excess of loss Exponential utility function Adjustment coefficient Dependent risks |
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