CAJ | 학술논문

考虑了一类新的保费原理———期望-标准差保费原理，基于此类新的保费原理之下，讨论了跳扩散(简称为J-D)模型中使得调节系数最大化的最优再保险问题，并且得到了最优再保险策略，最大调节系数和破产概率的最小指数上界的清晰表达式。最后通过数例和图表比较了J-D模型中有无再保险的情况。
고필료일류신적보비원리———기망-표준차보비원리，기우차류신적보비원리지하，토론료도확산(간칭위J-D)모형중사득조절계수최대화적최우재보험문제，병차득도료최우재보험책략，최대조절계수화파산개솔적최소지수상계적청석표체식。최후통과수례화도표비교료J-D모형중유무재보험적정황。
In this paper,using a different premium principle—mean-standard deviation premium principle,we solve the optimal reinsurance problem in the jump-diffusion( J-D for short) case to maximize the adjustment coefficient. The closed-form expressions of the optimal reinsurance strategy,the maximal adjustment coefficient and a sharper bound for the ruin probability are also given. In the end,some numerical examples are presented to show the difference of with or without re-insurance in the J-D case.