论文标题
最佳再保险以最大程度地减少均值差异原则下的缩减的可能性：渐近分析
Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
论文作者
论文摘要
在本文中，我们考虑了一个最佳的再保险问题，以最大程度地减少根据平均变量溢价原则计算再保险保费时，缩放cramér-lundberg风险模型的逐渐缩写概率。我们扩展了Liang等人的工作。 [16]为了最大程度地减少逐渐减少的概率。通过使用比较方法和调整系数的工具，我们表明，缩放经典风险模型的最小概率收敛到其扩散近似的最小概率，并且收敛速度为$ O（n^{ - 1/2}）的顺序。我们进一步表明，在缩放经典风险模型中使用最佳策略是$ O（n^{ - 1/2}）$ - 最佳。
In this paper, we consider an optimal reinsurance problem to minimize the probability of drawdown for the scaled Cramér-Lundberg risk model when the reinsurance premium is computed according to the mean-variance premium principle. We extend the work of Liang et al. [16] to the case of minimizing the probability of drawdown. By using the comparison method and the tool of adjustment coefficients, we show that the minimum probability of drawdown for the scaled classical risk model converges to the minimum probability for its diffusion approximation, and the rate of convergence is of order $O(n^{-1/2})$. We further show that using the optimal strategy from the diffusion approximation in the scaled classical risk model is $O(n^{-1/2})$-optimal.
