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The Reinsurance Research with Utility Theory

Author: YanLiHua
Tutor: WangYongMao
School: Yanshan University
Course: Probability Theory and Mathematical Statistics
Keywords: Reinsurance Utility theory Insurance Pricing The probability of bankruptcy Adjustment coefficient
CLC: F842.6
Type: Master's thesis
Year: 2010
Downloads: 140
Quote: 0
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Abstract


With China's insurance market gradually with international practice , the insurance companies is also more diversified reinsurance . There are many different ways to solve the problem of reinsurance , utility theory is the study of a more effective way of reinsurance . Thesis of utility theory reinsurance, on the basis of utility theory to study the optimal reinsurance model , and the original insurers and reinsurers were considered insurance pricing . The paper is organized as follows : First, the brief history of its classification of the research background , reinsurance , reinsurance mathematical principles and utility theory in the development of the status quo at home and abroad . And describes the basics of paper used , including homogeneous Poisson process and its decomposition , risk theory , martingale theory , basic knowledge of utility theory . Paper is on the basis of these basic knowledge reinsurance study . Second, discuss several forms of reinsurance to primary insurers and reinsurers . Knowledge about first established the Bankruptcy model of the original insurers and reinsurers , and martingale theory , the adjustment coefficient and the probability of bankruptcy of the bankrupt model to make up for the shortcomings of previous studies only consider the probability of bankruptcy of the original insurer reinsurance companies , provides a theoretical basis for the study of the probability of bankruptcy . Again, from the perspective of utility theory to discuss Optimal Reinsurance , further derived the optimal re- insurance utility theory under the stop loss reinsurance , respectively, when the sub- premium P fixed and changes in the two case discuss the stop loss reinsurance the optimal amount of retained reinsurance model . Finally, a special case of the exponential distribution of the amount of the claims to further verify the nature of the no memory of the exponential distribution . Finally, from the point of view of the insurance pricing study the role of utility theory in the reinsurance , insurance from the insurer and the insured person's point of view , as well as the angle between the insurer to discuss pricing , and in the final values ??given example , described from the value of the basic principles of insurance pricing .

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CLC: > Economic > Fiscal, monetary > Insurance > China's insurance industry > Various types of insurance
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