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《Journal of Shanghai Jiaotong University》 2006-04
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An Optimal Catastrophe Insurance Scheme Based on Mean Variance Model

XU Wei-shan,YANG Zhao-jun,XIAO Yan-ming(Antai School of Economics and Management,Shanghai Jiaotong Univ.,Shanghai 200052,China)  
This paper considers the optimal insurance of a risk aversion insurance company,where insurance company can use catastrophe option and reinsurance separately.A catastrophe risk management scheme is constructed by using catastrophe option and reinsurance.The results suggest that combining catastrophe option with reinsurance may extend the opportunity set and lead to efficiency gains basing on the mean variance model.Naturally,the results also depend on the transaction costs associated with the both instruments.
【CateGory Index】: F224
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