Research Of Optimal Reinsurance Strategy Under The Game Between Insurer And Reinsurer

In the financial market,reinsurance is a corporate risk management method for redistributing risks between insurers and reinsurers.There is no doubt that the design of reinsurance contract plays a vital role in managing the risks of reinsurer and insurer.However,the implicit game relationship between insurers and reinsurers has been ignored in the traditional reinsurance design model,that is,reinsurance contracts that are attractive to insurer may not be accepted by reinsurer.When looking for a feasible risk allocation,we need to consider not only the respective risk preferences of both parties,but also the conflict of interest between insurers and reinsurers.Based on this,this thesis studies the optimal reinsurance strategy in the game between insurers and reinsurers under distortion risk measure and general premium principle.The main research contents and conclusions are as follows:Firstly,we summarize the development and research status of optimal reinsurance strategy,and introduce in detail the different research of optimal reinsurance strategy in the game between insurers and reinsurers.Secondly,we consider two cases: information symmetry and information asymmetry between insurer and reinsurer.Under the general risk measure,we establish models and solve optimal reinsurance strategy under unconstrained and constrained conditions respectively according to the methods of Pareto optimal and Stackelberg equilibrium game.The results show that under the same premium principle.These models are extended to a more general case on the basis of previous studies.The results of two models are consistent when ≥ 0.5,while the optimal ceded loss function of Pareto optimal model is different from that of Stackelberg equilibrium game model when < 0.5.Finally,we divide the distortion risk measure into concave distortion risk measure and Va R measure,and then discuss and analyze the optimal reinsurance strategy under information asymmetry in detail,and verify the results of this thesis through numerical examples.12 pictures,45 reference.