| Reinsurance is effective approach for insurance companies to diverse their risk accumulated. Reinsurance's role as equalizer of society has appeared and been recognized little by little by people after many year's development. But consciousness and methods of reinsurance are in an immature stage in China. Since our country has entered the WTO, statutory reinsurance was cancelled in 2006. The researches about reinsurance are paid great attention, especially the optimal reinsurance problem.This paper primarily focuses on discussing the optimal problem of reinsurance under utility theory and mean-variance principle. It consists of four chapters as follows:Chapter 1 introduces history of reinsurance, basic concepts and functions of reinsurance, categories of reinsurance and the market of reinsurance.Chapter 2 discusses the meaning of optimal reinsurance, summarizes some important optimal ways of reinsurance and the development of optimal reinsurance research.Chapter 3 discusses the optimal reinsurance under utility theory. It concerns how to fix the optimal retention for stop-loss reinsurance. The solution of optimal reinsurance model under utility theory is discussed and a useful result is gotten.Chapter 4 discusses the optimal reinsurance under mean-variance principle. Based on the former researches, this paper proposes a new optimal criterion. The new optimal criterion considers the benefit of both parties in reinsurance treaty by taking into account the combination of fluctuation of their risk. Under mean- variance principle we find out the methods and parameters which minimize the combination variance of their risk. The solution of optimal reinsurance and their parameters are discussed.The innovations in this paper are as follows:1. Under utility theory, it discusses the solution of optimal retention for stop-loss reinsurance.2. Under mean-variance principle, this paper proposes a new optimal criterion. Under the new optimal criterion, we solve the problem of optimal reinsurance. |
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