最优再保险研究是保险精算领域当中的热门问题，Li & Young 于2021 年提出了在均值-方差模型下来解决当再保险公司选择均值-方差保费原则时保险公司与再保险公司之间的鲍利再保险策略，确定其最优的保费定价准则和最优割让损失。但对于现有的鲍利再保险策略中，普遍认为保险公司与再保险公司对风险看法相同。但在再保险领域中，保险公司与再保险公司对风险通常具有不同看法，即引入了经济学中的异质信念性。
[1] Borch, K. An attempt to determine the optimum amount of stop -loss reinsurance. Transactions of the 16th international congress of actuaries. 1960.
[2] Arrow K. J. Uncertainty and the welfare economics of medical care. Uncertainty in Economics. Academic Press. 1978.
[3] Raviv A. The design of an optimal insurance policy. Foundations of Insurance Economics. Springer, Dordrecht. 1992.
[4] Deprez O., Gerber H. U. On convex principles of premium calculation. Insurance: Mathematics and Economics. 1985.
[5] Artzner P., Delbaen F., Eber J. M. et al. Coherent measures of risk. Mathematical Finance. 1999. 9(3). 203-228.
[6] Cai J., Tan K. S. Optimal retention for a stop -loss reinsurance under the VaR and CTE risk measures. ASTIN Bulletin: The Journal of the IAA. 2007. 37(1). 93-112.
[7] Cheung K. C. Optimal reinsurance revisited –a geometric approach. ASTIN Bulletin: The Journal of the IAA. 2010. 40(1). 221-239.
[8] Bäuerle N. Benchmark and mean-variance problems for insurers. Mathematical Methods of Operations Research . 2005. 62(1). 159-165.
[9] Bai L, Zhang H. Dynamic mean-variance problem with constrained risk control for the insurers. Mathematical Methods of Operations Research. 2008. 68(1).181-205.
[10] Yao H., Yang Z., Chen P. Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model. Insurance: Mathematics and Economics. 2013. 53(3). 851-863.
[11] Zeng Y., Li D., Gu A. Robust equilibrium reinsu rance-investment strategy for a mean–variance insurer in a model with jumps. Insurance: Mathematics and Economics. 2016. 66. 138-152.
[12] Zhao H., Shen Y., Zeng Y. et al. Robust equilibrium excess-of loss reinsurance and CDS investment strategies for a mean –variance insurer with ambiguity aversion. Insurance: Mathematics and Economics. 2019. 88. 159-180.
[13] Boonen T J, Zhang Y. Optimal reinsurance design with distortion risk measures and asymmetric information[J]. ASTIN Bulletin: The Journal of the IAA, 2021, 51(2): 607-629.
修改评论