Optimal Self-retention Research Based On Risk Measurement

The relative balance between the part of self-risk retention or the part of risk transformation and the corresponding premium is concerned particularly by the insurer and the insured in the insurance market. While the risk concentration and the interest of the insurer has been paid excessive attention by the academic circles and the risk and interest of the other important role namely the insured in the insurance market has been ignored. So the risk and the interest of both the insured and the insurer were the study object in this dissertation and the combination between the theoretical research and the needs of the insurance market was realized.The VaR and the CVaR were used as the theory to measure the risk and then the model combined with the utility theory was built from the points of the insurer and the insured.The preliminary solution was obtained on the basis of the model whether there was the quota constraint or not. The part of self-risk retention was ensured finally when the standard was acceptable by the insured and the utility interest was the maximum for the insurer. The retention d which was accepted by the insured was calculated from one living example and the differences among different optimizing strategies of retention with different accepted standards were analyzed. The management of the risk could be reflected better in the confidence interval 1-? with the improved model compared with the initial model. This paper provides a new idea for the realization of the combination between the risk measurement and the risk optimization strategy in the insurance market.