标题： 最优超赔再保险合同的再考察 显示英文标题

标题： A Revisit of the Optimal Excess-of-Loss Contract

摘要： 众所周知，溢额再保险比停止损失再保险在市场上更具有吸引力，尽管停止损失再保险是在最优（再）保险设计文献中最突出的设定。我们指出，停止损失下的最优再保险政策会导致零破产概率，这激发了我们的研究。我们通过研究最优溢额再保险合同来弥补停止损失最优再保险合同这一奇特属性的不足。我们还提供了最优溢额再保险和停止损失再保险合同的估计器，并在许多保费原则假设和各种风险偏好下研究了它们的统计性质，据我们所知，这些在文献中从未被研究过。模拟数据和真实数据被用来说明我们的主要理论发现。 显示英文摘要

摘要： It is well-known that Excess-of-Loss reinsurance has more marketability than Stop-Loss reinsurance, though Stop-Loss reinsurance is the most prominent setting discussed in the optimal (re)insurance design literature. We point out that optimal reinsurance policy under Stop-Loss leads to a zero insolvency probability, which motivates our paper. We provide a remedy to this peculiar property of the optimal Stop-Loss reinsurance contract by investigating the optimal Excess-of-Loss reinsurance contract instead. We also provide estimators for the optimal Excess-of-Loss and Stop-Loss contracts and investigate their statistical properties under many premium principle assumptions and various risk preferences, which according to our knowledge, have never been investigated in the literature. Simulated data and real-life data are used to illustrate our main theoretical findings.