| 熵理论在比例再保险中的应用 |
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| 引用本文： | 赵秀菊. 熵理论在比例再保险中的应用[J]. 襄樊学院学报, 2007, 28(2): 12-14 |
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| 作者姓名： | 赵秀菊 |
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| 作者单位： | 襄樊学院,数学系,湖北,襄樊,441053 |
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| 摘 要： | 文章在研究均值-方差原理下的最优再保险模型的基础上,分析了该模型用方差度量风险的缺陷,进而提出用熵作为风险的一种度量方法,改进了Markowitz的均值-方差模型,建立了均值-方差-熵优化模型. 并通过实证说明了新模型在确定最优自留额时具有很好的可操作性和实用价值.
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| 关 键 词： | 比例再保险 熵 均值-方差模型 |
| 文章编号： | 1009-2854(2007)02-0012-03 |
| 修稿时间： | 2006-10-25 |
On Application of Entropy Theory to the Proportional Reinsurance |
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| ZHAO Xiu-ju. On Application of Entropy Theory to the Proportional Reinsurance[J]. Journal of Xiangfan University, 2007, 28(2): 12-14 |
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| Authors: | ZHAO Xiu-ju |
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| Affiliation: | ZHAO Xiu-ju |
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| Abstract: | Based on the mean-variance principle in optimal reinsurance model,this paper analyzes the limitations of measuring risk with variance.So the measurement method of risk is put forward with entropy,the Markowitz mean-variance model is ameliorated,and mean-variance-entropy model is established.Furthermore,it indicated that the new model in giving the optimal proportion is very operational and practicable. |
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| Keywords: | Proportional reinsurance Entropy Mean-Variance model |
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