| 相依风险下的超额赔款再保险 |
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| 引用本文： | 张峰.相依风险下的超额赔款再保险[J].兵团教育学院学报,2009,19(4):29-31. |
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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： | 本文通过求二次效用函数的货币期望效用的最大值来确定自留额，认为索赔次数服从二元泊松分布，超额赔款再保险的保费按期望值原理进行计算。
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| 关 键 词： | 超额再保险 期望效用函数 二次效用函数 二元泊松分布 相依风险 |
Excess of Loss Retention in Dependent Risks Model |
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| ZHANG Feng.Excess of Loss Retention in Dependent Risks Model[J].Journal of Bingtuan Education Institute,2009,19(4):29-31. |
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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: | The paper deals with the optimal excess of loss retention limits by maximizing the expected utility of wealth with respect to the quadratic utility function.The author holds that the number of claims is generated by a bivariate Poisson distribution.The premium calculation principle used for the excess of loss treaties is the expected value principle. |
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| Keywords: | Excess of loss Expected utility of wealth Quadratic utility Function Bivariate Poisson distribution Dependent risks |
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