The aim of the paper is to propose, and give an example of, a strategy for managing insurance risk in continuous time to protect a portfolio of non-life insurance contracts against unwelcome surplus fluctuations. The strategy combines the characteristics of the ruin probability and the values VaR and CVaR. It also proposes an approach for reducing the required initial reserves by means of capital injections when the surplus is tending towards negative values, which, if used, would protect a portfolio of insurance contracts against unwelcome fluctuations of that surplus. The proposed approach enables the insurer to analyse the surplus by developing a number of scenarios for the progress of the surplus for a given reinsurance protection over a particular time period. It allows one to observe the differences in the reduction of risk obtained with different types of reinsurance chains. In addition, one can compare the differences with the results obtained, using optimally chosen parameters for each type of proportional reinsurance making up the reinsurance chain.

中文翻译：

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在非人寿保险中使用最优再保险链减少初始准备金

本文的目的是提出并举例说明连续时间管理保险风险的策略，以保护非人寿保险合同的投资组合免受不受欢迎的盈余波动的影响。该策略结合了破产概率的特征以及值VaR和CVaR. 它还提出了一种在盈余趋于负值时通过注资减少所需初始准备金的方法，如果使用这种方法，将保护保险合同组合免受盈余不受欢迎的波动。建议的方法使保险公司能够通过为特定时间段内给定再保险保护的盈余进展情况开发多种情景来分析盈余。它允许人们观察不同类型的再保险链在降低风险方面的差异。此外，可以将差异与获得的结果进行比较，对构成再保险链的每种比例再保险使用最佳选择的参数。