Study Of The Problem Of Optimal Reinsurance Under The Individual Claim Case

Study of the Problem of Optimal Reinsurance under the Individual Claim CaseAs insurance becoming the necessity of people's life, reinsurance becomes more important than ever before. Reinsurance is insurers'insurance. With transferring the risk, reinsurance not only guarantee the wealth of people who paid for an insurance, but also optimize the insurance company, which help the insurance industry to be better. The researches about reinsurance are paid more attention, especially the optimal reinsurance problem.This paper primarily focuses on discussing the optimal reinsurance problem under adjustment coefficient of the retained risk criterion and expected utility criterion. It consists of three chapters as follows:Chapter 1 introduces the basic theorem of reinsurance, including the definition of reinsurance, categories of reinsurance and reinsurance market.Chapter 2 contains the introduction of optimal reinsurance and some basic theorem about searching the optimal reinsurance, which are expected utility criterion and mean-variance criterion.Chapter 3 mainly discusses the optimal reinsurance under adjustment coefficient of the retained risk criterion in individual claim case. And compare the relationship of adjustment coefficient criterion and expected utility criterion, prove that maximize the adjustment coefficient is equivalent to maximizing the expected utility.