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考虑一个具有常数红利边界的Sparre-Andersen风险模型,在此模型中提出一种新的再保险以保证在公司出现较小的赤字时再保险公司出资重置盈余到某个非负的水平,其中再保费从红利中提取.发现这样的重置保证再保险不但能显著提高破产前的贴现红利总量,而且能提高公司的平均寿命.对如此的优势作者作了严格的数学证明,并且举了两个实例印证了结论.
Consider a Sparre-Andersen risk model with a constant dividend boundary, in which a new reinsurance is proposed to ensure that reinsurers re-finance surpluses to a non-negative level when the company has a small deficit, with reinsurance From the bonus, we found that such reinsurance reinsurance can not only significantly increase the total discounted bonus before bankruptcy, but also improve the company’s average life expectancy.Strict evidence of such advantages for the author, and gave two examples Confirmed the conclusion.