Some Model Researchs On Optimal Stop-Loss Reinsurance

Reinsurance is effective approach for insurance companies to diverse their risk accumulated. Reinsurances role as equalizer of society has appeared and been recognized little by little by people after many years development. So reinsurance plays an important role in promoting the healthy development of insurance industry. A reasonable reinsurance plan is helpful for insurance companies to control risk. So it is necessary that insurance company transfer part of insurance business to reinsurance company. optimal retention for stop-loss reinsurance is the core part.Firstly, this paper introduce some categories of reinsurance and some theory, documents from home and abroad.This paper discusses the optimal reinsurance under utility theory,mean-variance principle and ruin probabilities.we discusses the common loss optimal reinsurance under mean-variance principle firstly. Based on the above researches, we discusses catastrophe futures optimal reinsurance under mean-variance principle. Because of the defect of mean-variance principle,this paper introduces entropy into the model.Model under utility theory, It concerns how to fix the optimal retention for stop-loss reinsurance. The solution of optimal reinsurance model under utility theory is discussed and a useful result is gotten.Under ruin probabilities This paper researches ruin probabilities of insurance company with reinsurance business. Under the assumptions that the diffusion term is considered, in the case that claimsize is of exponential distributed, the relationship between deductible and ruin is obtained.