The Reinsurance Research With Utility Theory

Since we has joined WTO, China's insurance market gradually connect with Internationalization. For matching with the expanding insurance market of China and Providing the reliable reinsurance product, study of reinsurance appears more and more important . For the insur ,it is an unevadable question about the type of reinsurance and insurance premium. This paper mainly studies reinsurance with the utility theory's method, and the ruin models of both insurance agent and reinsurance agent after reinsurance are discussed. In addition, this article has considered the insurance fixed price. This article is arranged as follows:Firstly, the background of this thesis is introduced. We mainly introduce the relevant knowledge about reinsurance. Then the basic theories about risk theory, random process, utility theory and martingale are also introduced. Secondly, we discuss the ruin models of both insurance agent and reinsur- ance agent, which is an innovation of this paper.we aslo obtain the adjustment coefficient and ruin probability from the theory.Then, the most superior reinsurance with utility theory is discussed in this paper. Specially, we study the ruin model whose claims are exponential distribution.Finally, the applications of utility theory in reinsurance with insurance pricing is introduced. A valuable example is given at last.