A Portfolio Model of International Reinusrance Operations
将再保险公司视为持有三种组合的金融中介，构建组合模型以同时优化再保险承保、转分保、金融投资和外汇管理策略，帮助应对汇率风险。
In this paper reinsurers are considered as financial intermediaries holding three portfolios: a portfolio of conditional liabilities (the reinsurance treaties) and two portfolios of conditional claims (financial assets and retrocession treaties). For reasons of risk-spreading, reinsurers are mainly active at the international level. They are thus exposed to considerable risks of foreign exchange gains and losses, which cannot be completely offset by traditional procedures of foreign exchange management, due to the stochastic character of technical liabilities and claims. Diversification of foreign exchange exposures may therefore be considered as the appropriate reinsurer's response to currency risk. Taking these various elements of the reinsurance business into consideration, the paper presents a portfolio model that permits simultaneous determination of optimal policies for reinsurance acceptances, retrocessions, financial investment, and foreign exchange management.