基于投资的再保险定价模型研究
A Study of Reinsurance Pricing Models Based on Investment
Abstract
从再保险人的立场出发,在投资基金服从对数正态分布的假定下,讨论了在投资收益影响下的再保险保费定价问题.对比例再保险和超额赔款再保险两种情况进行分析,得出了它们在一定的置信度下,再保险公司为达到或超过某利润率所应厘定的保费定价模型.所得结论对再保险公司稳健地经营具有重要的现实意义. On the assumption that investment funds follow lognormal distribution,the reinsurance pricing question affected by investment gains is discussed from the reinsurers’ angle.Premium pricing models aimed to achieve or surpass a profit rate at a certain credibility level are obtained for reinsurance companies based on the analysis of proportion reinsurance and excess-of-loss reinsurance.The results are of important realistic significance to the steady operation of reinsurance companies.