An equilibrium model of reinsurance pricing

IF 0.9 4区数学 Q3 STATISTICS & PROBABILITY

Statistics & Probability Letters Pub Date : 2024-10-01 DOI:10.1016/j.spl.2024.110280

Jiang Cheng , Chao Deng , Shuyan Liu , Xudong Zeng

引用次数: 0

Abstract

Reinsurance is the insurance of insurance companies. We develop a dynamic equilibrium model for reinsurance pricing based on the supply and demand of reinsurance. In the model, an insurance company and a reinsurance company make decisions on the optimal reinsurance policy as a demander and a supplier of reinsurance, respectively. The reinsurance price is determined when the demand matches the supply. We incorporate the proportional reinsurance policy as well as investment opportunities into the framework. The high flexibility of this equilibrium pricing model paves a new way for studies of optimal reinsurance and reinsurance pricing.

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再保险定价的均衡模型

再保险是保险公司的保险。我们建立了一个基于再保险供求关系的再保险定价动态均衡模型。在该模型中，保险公司和再保险公司分别作为再保险的需求方和供应方，就最佳再保险政策做出决策。当需求与供给相匹配时，再保险价格就确定了。我们将比例再保险政策和投资机会纳入该框架。这种均衡定价模型的高度灵活性为研究最优再保险和再保险定价铺平了道路。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Statistics & Probability Letters 数学-统计学与概率论

CiteScore

1.60

自引率

0.00%

发文量

173

审稿时长

6 months

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