【摘要】 讨论使投保人的期望效用最大化的最优保险问题。给出了在标准差保费计算原理下并将保险公司的期望损失控制在一个特定水平时最优保险策略的充分条件。作为例子,在特殊的效用函数形式下,得到了最优保险策略的具体形式。更多还原

【Abstract】 In this paper,the authors derive optimal insurance for maximizing the insured’s expected utility of terminal wealth,under standard deviation premium principle and the insurer’s risk constraint.The constraint controls the expected loss of insurer’s terminal wealth below some pre-specified level.Sufficient conditions for optimality of an insurance contract are given.An explicit form of optimal contract is derived in the case of giving an explicit form of utility function.更多还原