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中国管理科学

中国管理科学 ›› 2001, Vol. ›› Issue (3): 1-5.

• 论文 •    下一篇

基于投资理论的保险定价公式

刘海龙, 吴冲锋   

  1. 上海交通大学现代金融研究中心, 上海200030
  • 收稿日期:2000-08-07 出版日期:2001-06-28 发布日期:2012-03-06
  • 基金资助:
    国家自然科学基金资助项目(79970027);教育部跨世纪优秀人才基金

Insurance Pricing Formula Based on Investment Theory

LIU Hai-long, WU Chong-feng   

  1. Management School, Shanghai Jiaotong University, Shanghai 200030, China
  • Received:2000-08-07 Online:2001-06-28 Published:2012-03-06

PDF (PC)

2814

被引次数

30

摘要： 在保险公司是风险中性的假设下,运用倒向随机微分方程的理论,研究了保险公司在风险投资框架下的保险定价问题。首先,建立了保险定价问题的线性正倒向随机微分方程数学模型;然后,根据一类特殊线性倒向随机微分方程的显式解,推出了由风险投资确定的保险定价公式;最后,进行了算例分析。

关键词: 保险定价, 随机微分方程, 正倒向随机微分方程, 伊藤微分公式

Abstract: Under the assumption that insurance companies are risk neutral,and using the theory of backward stochastic differential equation,the insurance pricing problem is studied in the framework of investment theory.At first,the linear forward-backward stochastic differential equation for insurance pricing is established.Then the insurance pricing formula based on the investment theory is obtained on the basis of the explicit solution of a special class of linear backward stochastic differential equation.Finally,an example is provided.

Key words: insurance pricing, stochastic differential equation, forward-backward stochastic differential equation, Ito differential formula

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