摘要
针对一家风险厌恶保险公司,构造了一个由巨灾期权和再保险组合而成的巨灾保险计划,借用标准均值方差模型,分析了巨灾期权和再保险的最优组合安排.研究表明,巨灾期权与再保险结合可以拓展保险的机会集合和改进效率,且最优解还受到巨灾期权和再保险的交易成本影响.
This paper considers the optimal insurance of a risk aversion insurance company, where insurance company can use catastrophe option and reinsurance separately. A catastrophe risk management scheme is constructed by using catastrophe option and reinsurance. The results suggest that combining catastrophe option with reinsurance may extend the opportunity set and lead to efficiency gains basing on the mean vafiance model. Naturally, the results also depend on the transaction costs associated with the both instruments.
出处
《上海交通大学学报》
EI
CAS
CSCD
北大核心
2006年第4期632-635,640,共5页
Journal of Shanghai Jiaotong University
关键词
均值方差模型
最优保险
巨灾期权
再保险
mean variance model
optimal insurance
catastrophe option
reinsurance
