On Application of Entropy Theory to the Proportional Reinsurance
Zhao Xiu-ju · 2007
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.