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中国管理科学

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补充医疗保险的障碍期权定价方法及其应用

郑红1, 游春2   

  1. 1. 东北大学工商管理学院, 辽宁沈阳 110004;
    2. 浙江泰隆商业银行, 浙江台州 318050
  • 收稿日期:2010-01-05 修回日期:2011-09-12 出版日期:2011-12-30 发布日期:2011-12-30
  • 作者简介:郑红(1972- ),女(汉族),辽宁沈阳人,东北大学工商管理学院副教授,社会保障博士后,研究方向:社会保障、金融与精算研究。
  • 基金资助:
    教育部哲学社会科学重大攻关项目(08JZD0018);教育部人文社科基金资助项目(09YJCZH012);辽宁省社科基金重点资助项目(L07ASH001);中央高校基本科研业务费资助项目(90406012);中国博士后基金资助项目(20100471470)

Barrier Option Pricing Method of Supplemental Medical Expense Insurance and its Application

ZHENG Hong1, YOU Chun2   

  1. 1. School of Business Administration, Northeastern University, Shenyang 110004;
    2. Zhejiang Tailong Commercial Bank, Taizhou 318050, China
  • Received:2010-01-05 Revised:2011-09-12 Online:2011-12-30 Published:2011-12-30

PDF (PC)

2677

被引次数

14

摘要： 本文将期权理论引入并应用到医疗保险领域,克服传统损失分布法的局限性,为医疗保险精算提供新颖的分析工具和全新的研究视角。运用供给与需求的一般经济均衡分析将期权定价和精算定价统一于医疗保险精算领域,从精算技术与期权定价整合的视角提出医疗保险精算的供需均衡原理,并利用帕累托最优保险定价公式推导出经典Black-Scholes期权定价模型,缓解期权定价模型在医疗保险领域的应用障碍;利用障碍期权定价思想,标准期权定价模型、棘轮期权定价模型的推导思路,设计和构建含有免赔额、赔偿限额和共付比例的补充医疗保险障碍期权定价模型;最后将理论研究成果应用于我国医疗改革和医疗保险实践,测算补充医疗保险纯保费,丰富我国补充医疗保险定价方法的研究。

关键词: 补充医疗保险, 向上敲出看涨期权, 障碍期权定价, Black-Scholes公式

Abstract: Option theory is introduced and applied to the field of medical insurance,to overcome the traditional medical insurance loss distribution limitation,and to provide a innovative analysis tools and a new research perspective in this paper.Using supply and demand of general equilibrium analysis,the option pricing and actuarial pricing are unified in the medical field,and supply and demand balance principle of medical insurance are put forward,and use the pareto optimal insurance pricing formula to derive classic Black-Scholes option pricing model,alleviating option pricing model in medical insurance area of application obstacles;using barrier option pricing idea,derivation thought of standard option pricing model and ratchet option pricing model to derive the supplementary medical insurance option pricing model containing deductibles,limit of compensation and pay aproportion.Finally,the academic research is applied to China's medical reform and practice of medical insurance,to calculate the pure premium of supplementary medical insurance,and to enrich the research of our supplementary medical insurance pricing method.

Key words: supplemental medical insurance, up-and0out call option, barrier option pricing, Black-Scholes formula

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