兰州大学机构库 >数学与统计学院
博弈论在最优超额损失再保险中的应用
Alternative TitleAn Application of Game Theory to Optimal Excess-Loss Reinsurance
谷晓丽
Thesis Advisor牛明飞
2008-05-25
Degree Grantor兰州大学
Place of Conferral兰州
Degree Name硕士
Keyword博弈论 超额损失再保险 网式再保险 投资收益 对数正态
Abstract博弈论是使用严谨的数学模型研究现实世界中冲突对抗条件下最优决策问题的理论。最近三四十年,博弈论作为现代经济学的前沿域,已成为占据主流地位的基本分析工具。目前谈到博弈论主要指的是非合作博弈,也就是各方在给定的约束条件下如何追求各自利益的最大化,最后达到力量均衡。 本文是以非合作博弈中的完全信息动态博弈模型为基础,把原保险人和再保险人看成是博弈的参与者。首先给出了一种网式超额损失再 保险模型,其次考虑了有投资收益支持的超额损失再保险;并运用求解完全信息动态博弈均衡结果的经典方法——倒推归纳法分析了原保险人和再保险人的最优策略和均衡结果。在此框架下得到的最优再保险保费反映了利益冲突的保险主体之间顺序动态决策的事实。
Other AbstractGame theory is a theory, which uses the rigorous mathematical model to research the confrontation optimal policy decision problems of the real word. The last three or four decades, the game theory as the forefront of the field of modern economics has become a basic analysis tool occupying mainstream position. Turning to the game theory at present mainly refers to the non-cooperative game, in which all players maximize their own interests, and ultimately achieve balance of power. In this paper, we use non-cooperative game to solve the problem of optimal reinsurance. We think the original insurer and reinsurer as the players of the game. In the third chapter, we give a model of nets of reinsurance, and in the fourth chapter we study the excess-of-loss reinsurance, which influenced by investment profit. Then we in a dynamic game theory model with complete information analyze the optimal strategies of both original insurer and reinsurer as well as the equilibrium result. The optimal reinsurance premium gained under the frame of game reflects the fact that insurance agents with conflicted interests make decisions dynamically and by order.
URL查看原文
Language中文
Document Type学位论文
Identifierhttps://ir.lzu.edu.cn/handle/262010/225605
Collection数学与统计学院
Recommended Citation
GB/T 7714
谷晓丽. 博弈论在最优超额损失再保险中的应用[D]. 兰州. 兰州大学,2008.
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