【摘要】 在广义再保险策略下，从保费准则、风险度量、再保险策略等基本概念出发，构建求解最优再保险策略的理论框架，减弱传统再保险策略中假设条件较为严苛的限制，克服再保险定价过程中人为设定保费准则参数的弊端，给出巨灾保险基金规模理论表达式，并结合中国2008—2020年自然灾害损失数据进行实证研究，给出不同承保比例及风险容忍度下经验期巨灾保险基金的总规模，以及不同承保比例及固定风险容忍度下未来五年巨灾保险基金规模。研究发现，VaR—期望保费原理在目标函数条件下的最优再保险策略是有上限的止损策略；再保险行为取决于风险容忍度和风险附加因子，风险容忍度与风险转移的成本成正比，与总再保险费成反比。随着实际风险容忍度的提高，总再保险费金额逐渐下降，风险容忍度的提高会加速该下降速度。达到某个临界值时，再保险行为终止。再保险费最小化条件下，风险附加因子随着风险容忍度的增加先增后减。以α与β分别为横坐标和纵坐标，以β=1/α-1为分界线，将第一象限划分为两个区域，分界线右上侧表示原保险人停止再保险行为，在分界线左下侧表示原保险人会选择再保险行为。更多还原

【Abstract】 By constructing the theoretical framework for solving the optimal reinsurance strategy under the generalized reinsurance strategies, start from the basic concepts such as premium criteria, risk measurement, and reinsurance strategies, overcome the shortcomings of the artificially setting premium criteria in the reinsurance pricing process, weak the stricter assumption in traditional reinsurance strategies, give the theoretical expression of catastrophe insurance fund scale, and do the research on the basis of Chinese natural disaster loss data in 2008—2020.The total scale of catastrophe insurance funds in the empirical period under different underwriting ratios and risk tolerances, and the scale of catastrophe insurance funds in the next five years under different underwriting ratios and fixed risk tolerances are given.Under the VaR-expected premium principle, it is that the optimal reinsurance strategy is a stop-loss reinsurance with an upper limit.The reinsurance behavior depends on the risk tolerance and the risk loading factor, and the risk tolerance is proportional to the cost of the risk transfer and the total reinsurance premium.As the actual risk tolerance increases, the total reinsurance premium will gradually decrease, and the increase in risk tolerance will accelerate the rate of decline.When a certain critical value is reached, the reinsurance behavior is terminated.Under the condition of minimizing reinsurance premium, the loading risk factor increases first and then decreases with the increase of risk tolerance.Taking α and β as the abscissa and ordinate, and β=1/α-1 as the dividing line, divide the first quadrant into two areas.The upper right side of the demarcation line indicates that the original insurer has stopped reinsurance, and the lower left side of the demarcation line indicates that the original insurer will choose reinsurance.更多还原