Research On Optimal Reciprocal Reinsurance Based On CvaR Criteria

Reinsurance refers to the act of the insurer transferring some of the risks assumed by the insurer to other insurers on the basis of the original insurance contract.Many documents only consider the most profit from the perspective of the insurer,but ignore the interests of the reinsurer,which is relatively unfair.Therefore,we need to consider the interests of both the insurer and the reinsurer,and then find an optimal reinsurance strategy.This paper uses CVaR to measure the optimization problem of insurers and reinsurers based on the expectation principle.The full text is divided into five parts:Chapter 1 is the introduction.It mainly summarizes the research background of rein-surance,the research status at home and abroad,and the structure and innovation of this paper.Chapter 2 is the preliminary knowledge.A brief introduction to the form of reinsurance and related definitions.Chapter 3 is the solution of the optimal reinsurance strategy based on the expected value principle.From the perspective of insurers and reinsurers.the optimal reinsurance problem under CVaR risk measurement is studied.In the insurance contract,the insurer bears the risk of f(X),the reinsurer bears the risk X-?(X),based on the expected premium principle,the insurer pays the reinsurer reinsurance(1+?)E[f(X)](where p is the safe load factor),with the convex combination of the two as the objective function,(?) we find the change-loss reinsurance is optimal reinsurance strategy.Chapter 4 is the numerical example.Under the different parameter values,the specific form of the optimal strategy is obtained,and the resnlts are compared.Chapter 5 is the summary and outlook.