论文标题
具有通用依赖性结构的多种风险的再保险
Reinsurance of multiple risks with generic dependence structures
论文作者
论文摘要
我们从拥有多种因风险的直接保险公司的角度考虑了最佳的再保险问题，假设每个风险都有最大的预期公用事业标准和重新保险的独立谈判。没有关于依赖性结构的任何特定假设，我们表明一类独立的随机合同中存在最佳条约。我们得出最佳条件，并表明在轻度假设下，最佳合同是经典（非随机）类型的。在这种情况下适用于MOF的特定于MOF的最佳条件。我们提出了一个数值方案来解决最佳条件。
We consider the optimal reinsurance problem from the point of view of a direct insurer owning several dependent risks, assuming a maximal expected utility criterion and independent negotiation of reinsurance for each risk. Without any particular hypothesis on the dependency structure, we show that optimal treaties exist in a class of independent randomized contracts. We derive optimality conditions and show that under mild assumptions the optimal contracts are of classical (non-randomized) type. A specific for mof the optimality conditions applies in that case. We present a numerical scheme to solve the optimality conditions.
