Optimal Reinsurance Based On The Dependent Risk Model And Trimmed Mean Risk Measure

Insurance is a special industry of managing risk and it has its own risks,so it needs someone to take risks for it.Therefore,insurance companies tend to choose reinsurance,that is,to transfer part or all of its risks to others by signing agreement on reinsurance.The reinsurance process is a game process,for the sake of fairness,we need a standard to balance the dividing risk and self-retaining risk of insurance companies,so as to maximize the interests of both insurers and reinsurers.On the basis of previous studies,this paper considers the optimal reinsurance problem in the case of risk dependence,and also studies the optimal reinsurance problem in the case of risk limitation under the measure of truncated mean risk.The main contents are summarized as follows: Part One,we introduce the research background,research status and research content of reinsurance.Part Two,we outline the necessary preknowledge for this study.Part Three,considering that an accident may lead to multiple kinds of joint claims and have dependencies,a dependency risk model is established,and the explicit solutions of HJB equation under the expected premium principle and CVa R premium principle are solved respectively.Part Four,when the risks of insurer and reinsurer are limited,the common interests of both are considered.Firstly,the risks of insurer and reinsurer are quantified by means of truncated mean risk measure.Then,the quantified risks are combined by a convex combination.Finally,the explicit solution of the loss function is obtained by solving the convex combination by Neyman-Pearson method.Finally,we summarize the thesis and propose the future work.