The Research On Optimal Policies In Reinsurance

Reinsurance is an insurer’s behavior of transferring responsibilities. It works assafety valve in preventing and mitigating the systemic risk, plays a positive role inpromoting the development of the insurance market, social services and economicdevelopment. Therefore, in recent years, the study of reinsurance has become a hottopic pursued by scholars form various countries.In this paper, we research the optimal retentions for an insurance company whointends to reinsure its risk by means of a pure proportional treaty, stop-loss treaty andcombination of proportional and stop-loss. Under the criterion of maximizing theadjustment coefficient and minimizing the upper bound of finite time ruin probability,we get the expression of the optimal results and we can also conclude that there existsa pure stop-loss reinsurance which is better than any combinational reinsurancestrategy.