论文标题
最佳保险以最大程度地减少废墟的可能性：逆生存功能配方
Optimal Insurance to Minimize the Probability of Ruin: Inverse Survival Function Formulation
论文作者
论文摘要
我们发现，当按比例的风险负荷计算出保费时，可以最大程度地减少损失可能性的最佳赔偿，并且可接受的赔偿金如此，以至于赔偿性和保留性都不是基本损失的不断减弱的功能。我们以逆生存函数为控制变量重新制定问题，并表明具有最大限制的可扣除保险是最佳的。我们的主要贡献是通过逆生存函数解决此问题。
We find the optimal indemnity to minimize the probability of ruin when premium is calculated according to the distortion premium principle with a proportional risk load, and admissible indemnities are such that both the indemnity and retention are non-decreasing functions of the underlying loss. We reformulate the problem with the inverse survival function as the control variable and show that deductible insurance with maximum limit is optimal. Our main contribution is in solving this problem via the inverse survival function.
