Optimal Reinsurance Based On The Perspectives Of Insurers And Reinsurers

Reinsurance is an insurance that,the insurer transfers part of its own risk to the rein-surer in order to disperse the risk and reduce the loss when the huge loss comes.Optimal reinsurance is the main content of reinsurance research.Most of them are from the perspec-tive of the insurer or only from the perspective of the reinsurer.However,in the process of reinsurance,there is a conflict of interest between the insurer and the reinsurer.An optimal insurance for one party may not be optimal for another party and it might be unacecptable for another party.Therefore,in the study of optimal reinsurance,we should consider the interests of both the insurer and the reinsurer.In this paper,we study the optimal reinsurance from the perspectives of both the insurer and reinsurer.Chapter 1 is the introduction of this paper,including the research background and research status of optimal reinsurance,as well as the main structure and innovation of this paper.Chapter 2 is preliminary knowledge,including reinsurance strategy.as well as the defmition and property of VaR and CTE.In chapter 3.we study the optimal limited stop-loss reinsurance,and we derive the optimal solution by minimizing the convex combination of the VaR of the:insurer’s cost and reinsurer’s cost expectation premium principle.In chapter 4,we study the optimal change-loss reinsurance,and we derive the optimal solution by minimizing the convex combination of the CTE of the insurer’s cost and reinsurer’s cost under expectation premium principle and Dutch premium principle.Finally,more intuitive results are given through numerical examples.Chapter 5 is the the sumary nd outlook of this paper.