|本期目录/Table of Contents|

[1]许洲,孟祥美. 标准差保费原理下含限制条件的最优保险策略[J].浙江理工大学学报,2012,29(02):283-287.
　XU Zhou,MENG Xiang\|mei. Optimal Insurance under Standard Deviation Premium Principleand the Insurers Risk Constraint[J].Journal of Zhejiang Sci-Tech University,2012,29(02):283-287.
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 标准差保费原理下含限制条件的最优保险策略()
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浙江理工大学学报[ISSN:1673-3851/CN:33-1338/TS]

卷:
第29卷
期数:
2012年02期
页码:
283-287
栏目:
(社科)经济与管理
出版日期:
2012-04-28

文章信息/Info

Title:
 Optimal Insurance under Standard Deviation Premium Principleand the Insurers Risk Constraint
文章编号:
16733851 (2012) 02028305
作者:
 许洲1;  孟祥美2
 1.浙江理工大学理学院， 杭州 310018； 2.杭州银行， 杭州 310003
Author(s):
 XU Zhou1;  MENG Xiang\|mei2
 1. School of Sciences, Zhejiang Sci\|Tech University, Hangzhou 310018, China;2. Bank of Hangzhou, Hangzhou 310003, China
关键词:
 ; 最优保险;  期望效用;  标准差保费计算原理
分类号:
F840:O211
文献标志码:
A
摘要:
    讨论使投保人的期望效用最大化的最优保险问题。给出了在标准差保费计算原理下并将保险公司的期望损失控制在一个特定水平时最优保险策略的充分条件。作为例子，在特殊的效用函数形式下，得到了最优保险策略的具体形式

参考文献/References:

 ［1］ Arrow K J. Uncertainty and the welfare economics of medical care［J］. American Economic Review, 1963, 53(5): 941\|973.
［2］ Arrow K J. Optimal insurance and generalized deductibles［J］. Scandinavian Actuarial Journal, 1974（1）: 1\|42.
［3］ Deprez O, Gerber H U. On convex principles of premium calculation［J］. Insurance: Mathematics and Economics, 1985, 4 (3): 179\|189.
［4］ Young V R. Optimal insurance under Wangs premium principle［J］. Insurance: Mathematics and Economics, 1999, 25(2): 109\|122.
［5］ Wang S, Young V R, Panjer H H. Axiomatic characterization of insurance prices［J］. Insurance: Mathematics and Economics, 1997, 21(2): 173\|183.
［6］ Wang S. Premium calculation by transforming the layer premium density［J］. ASTIN Bulletin, 1996, 26(1): 71\|92.
［7］ Promislow S D, Young V R. Unifying framework for optimal insurance［J］. Insurance: Mathematics and Economics, 2005, 36(3): 347\|364.
［8］ Zhou C Y, Wu C F. Optimal insurance under the insurers risk constraint［J］. Insurance: Mathematics and Economics, 2008, 42(3): 992\|999.
［9］ Gajek L, Zagrodny D. Insurers optimal reinsurance strategies［J］. Insurance: Mathematics and Economics, 2000, 27(1): 105\|112.
［10］Gajek L, Zagrodny D. Optimal reinsurance under general risk measures［J］. Insurance: Mathematics and Economics, 2004, 34(2): 227\|240.
［11］ Koller B, Detwyller N. APS reinsurance［J］. ASTIN Bulletin, 1997, 27(2): 329\|337.
［12］ Kaluszka M. Mean\|variance optimal reinsurance arrangements［J］. Scandinavian Actuarial Journal, 2004(1): 28\|41.
［13］ Kaluszka M. An extension of Arrows result on optimality of a stop loss contract［J］. Insurance: Mathematics and Economics, 2004, 35(3): 527\|536.

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备注/Memo

备注/Memo:
 收稿日期： 2010-01-17
基金项目： 国家自然科学基金项目（70871103，11001243）
作者简介： 许洲(1979-)，男，浙江苍南人，硕士，讲师，主要从事风险理论、保险精算的研究。
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