Reinsurance Optimization Model

This paper primarily focuses on one issue in the field of reinsurance research: reinsurance optimization. With the perspective of risk transferring, this thesis focuses on discussing the reinsurance optimization model under mean-variance principle, utility theory and sharpe's ratio, their meanings, basic ideas and conditions applicable.At present, China has been a member of WTO. It is not long before the fully opening up of Chinese reinsurance market. Reinsurance operation, especially the scientific arrangement of ceding business is of great importance to insurance company. It relates to reinsurance function's developing effectively, relates to insurance industry's healthy development, relates to internationally core competition ability of Chinese reinsurance industry.This thesis consists of four chapters as the following: Chapter 1 is introduction, introduces backgrounds and meaning of theme selection, then arises out of the problem of reinsurance optimization, summarizes the methods of reinsurance optimization, expatiates on the main content and the framework. Chapter 2 discusses reinsurance optimization model under mean-variance principle. Aiming at change stop loss reinsurance, it derives optimal conclusions of both individual model and collective model. Chapter 3 discusses reinsurance optimization model under utility theory and the conditions applicable, then discusses the properties of optimal tactics. Chapter 4 discusses reinsurance optimization model under sharpe's ratio and the conditions applicable, it derives more general model.The innovations in this thesis may be as follows:1.Generalizing the material collected systematically, putting forward to the concept of reinsurance optimization, summarizing the theoretic approach of reinsurance optimization.2. During the discussion of reinsurance optimization under sharpe's ratio, it derives the conclusions of optimization with the combination of insurance risk and financial risk through quantitative and qualitative analysis.