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中国管理科学

中国管理科学 ›› 2009, Vol. 17 ›› Issue (3): 27-33.

• 论文 • 上一篇    下一篇

随机组合风险的风险溢价

毛泽春   

  1. 湖北大学商学院, 湖北武汉 430062
  • 收稿日期:2008-11-18 修回日期:2009-05-18 出版日期:2009-06-30 发布日期:2009-06-30
  • 作者简介:毛泽春(1964- ),男(汉族),湖北大冶人,湖北大学商学院教授,研究方向:风险理论、非寿险精算、概率统计.

The Premium of Stochastic Compound Risk

MAO Ze-chun   

  1. Department of Finance, School of Business, Hubei University, Wuhan 430062, China
  • Received:2008-11-18 Revised:2009-05-18 Online:2009-06-30 Published:2009-06-30

PDF (PC)

1819

被引次数

4

摘要： 随机组合风险在保险索赔理论、金融及经济管理等领域有广泛的应用,数学上采用随机和来刻画随机组合风险。风险溢价在金融经济学及保险经济学的理论中都是很重要的概念,它不仅与风险的大小有关,还与当事人对风险的态度有关,从理论上看就是与当事人的效用函数有关。本文研究在期望效用理论下随机组合风险的风险溢价问题,探讨了由组合数(如索赔次数)的不确定性所引起的风险溢价,给出了几种不同效用函数下随机组合风险的风险溢价的计算公式,并特别针对随机Poisson组合及随机Poisson-Geometric组合给出了其风险溢价的计算公式及性质。

关键词: 随机组合风险, 期望效用理论, 风险溢价, 随机Poisson组合, 随机Poisson-Geometric组合

Abstract: Stochastic compound risk has been applied widely in insurance claim theory,finance,economics and management. Mathematically,a stochastic compound risk can be expressed by a random sum. Risk premium is a very important concept in insurance economics and finance economics. It depends on the severity of risk and on the agency's risk attitude defined by utility function. In this paper,the premium of introducing stochastic compound risk has been studied on the expectation utility theory. The premium induced by compound numbers randomicity is measured. Moreover,introduing stochastic Poisson compound and stochastic Poisson-Geometric compound under some special utility functions,the premium has been analyzed and calculated.

Key words: stochastic compound risk, expectation utility theory, risk premium, stochastic Poisson compound, stochastic Poisson-Geometric compound

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