Research On Optimal Reinsurance Strategy Based On The Perspectives Of Both Insurers And Reinsurers

Human society has been facing the intrusion of natural disasters and accidents from the beginning.In the struggle against nature,human beings have developed insurance ideas and methods to deal with disasters.However,with the development of society and the advancement of technology,the insurance business of insurance companies has become increasingly mature,and the risks they face continue to increase in the large number of underwriting businesses.For example,for losses caused by natural disasters such as earthquakes,typhoons,and floods,a single insurance company simply cannot afford and perform compensation liabilities by virtue of its own strength,because any indemnity may lead to great financial difficulties and even bankruptcy of the insurance company.At this time,reinsurance companies came into being,and the emergence of reinsurance changed the embarrassing situation of insurance companies,and provided insurance companies with a new idea when underwriting this type of business that may have huge losses.Therefore,the research on the optimal reinsurance problem is very meaningful and necessary.Reinsurance is when huge losses come,insurance companies in order to diversify risks and reduce losses.A type of insurance that transfers part of the risk that one has assumed to the reinsurer.The insurer must pay the reinsurer a reinsurance fee while transferring part of the risk he bears to the reinsurer.If the risk of transfer is increased in order to reduce the retention loss,the reinsurance fee that the insurer needs to pay will increase accordingly;conversely,if the reinsurance fee to be paid is reduced and the risk of transfer is reduced,then the insurer's self-insurance Staying loss will increase.In order to weigh the relationship between the insurer's retention losses and reinsurance premiums,the research on optimal reinsurance was introduced.In many current literatures,most of the optimization problems of reinsurance only consider the interests of one of the parties.This is unreasonable in practice,because in a reinsurance process,the interests of both the insurer and the reinsurer are involved at the same time.Therefore,the research of optimal reinsurance should consider the interests of both the insurer and the reinsurer.The main factors involved in the whole reinsurance process are the distribution function,reinsurance premium,objective function and so on.This article considers that in general reinsurance contracts,in order to take into account the interests of both the insurer and the reinsurer,the RVaR premium pricing criterion is adopted,and the risk measurement method of different confidence levels VaR(or TVaR)is used for the insurer and the reinsurer,and the convex combination of the losses of both parties is minimized.Research the optimal reinsurance strategy for the objective function.In this paper,under the VaR(or TVaR)risk measurement,the optimal reinsurance form is obtained,and through numerical simulation,it is found that the optimal reinsurance strategy under the TVaR risk measurement is more suitable for risks with thick tail characteristics.This article is divided into five chapters.The first chapter is the introduction,which mainly introduces the research background,research significance,research status at home and abroad,as well as the innovations and deficiencies of the thesis;the second chapter is the theoretical basis,mainly expounding some premium guidelines,The form and basic concepts of reinsurance strategy and risk measurement;Chapter3 is the choice of reinsurance strategy,mainly including the choice of reinsurance premium and objective function;Chapter4 is the optimal reinsurance strategy under different optimization criteria,which is obtained through rigorous and detailed discussion The optimal form of reinsurance and the optimal parameters are presented,and more intuitive results are given through numerical examples;Chapter5is the summary and outlook.There are three main innovations in this article.First of all,most of the previous articles have studied stop-loss reinsurance with upper limit under VaR.This article studied optimal reinsurance from both the insurer and the reinsurer perspective under the VaR and TVaR.Secondly,for the convenience of calculation,the existing articles generally choose the expected value premium principle.This article chooses the RVaR,as it considers the interests of both the insurer and the reinsurer,and it also satisfies the principle of consistency.Finally,the forms of reinsurance in previous articles are mainly stop-loss reinsurance and quota share reinsurance.This article constructs a kind of reinsurance form,which includes the common reinsurance forms in practice.