| 基于随机控制的非寿险保费定价策略 |
| |
| 引用本文： | 王桂胜,陈秉正.基于随机控制的非寿险保费定价策略[J].清华大学学报(自然科学版),2011(6):827-830. |
| |
| 作者姓名： | 王桂胜 陈秉正 |
| |
| 作者单位： | 清华大学经济管理学院经济系;首都经贸大学劳动经济学院社会保险系 |
| |
| 摘 要： | 该文探讨在完全竞争的保险市场条件下如何制定最佳非寿险保费策略,以促进非寿险保险公司的发展。主要运用随机最优控制理论,分别在采取期望最终财富和采取期望效用两种模式下,分析了在相对保费率设定和相机抉择设定下的非寿险保费定价策略,得到了一致的最优保费定价策略;并将该最优保费定价策略应用于简单目标函数分析。结果表明:最优保费定价策略是一致的;最优保费定价策略是要么制定一个很高的保费率,要么制定一个低于某一常数的相对保费率;最优保费率取决于平均损失率和市场平均保费等因素。
|
| 关 键 词： | 最优保费策略 相对保费率 平均损失率 |
Stochastic control in formulating non-life insurance premium strategies |
| |
| WANG Guisheng,CHEN Bingzheng.Stochastic control in formulating non-life insurance premium strategies[J].Journal of Tsinghua University(Science and Technology),2011(6):827-830. |
| |
| Authors: | WANG Guisheng CHEN Bingzheng |
| |
| Institution: | 1 (1.Department of Economics,School of Economics and Management, Tsinghua University,Beijing 100084,China; 2.Department of Social Insurance,School of Labor Economics,Capital University of Economics and Business,Beijing 100171,China) |
| |
| Abstract: | An optimal non-life insurance premium strategy in perfectly competitive insurance markets was developed for relative premium rate and trade-off specifications using stochastic control theory for two modes of the expected utility and expected final wealth.The consistent optimal premium strategy is applied to an empirical analysis of a simple objective function.The optimal premium strategy is shown to be consistent with the optimal premium strategy of whether to have a high premium rate or a relative premium rate less than a constant depends on the average loss rate and average market premium. |
| |
| Keywords: | optimal premium strategy relative premium rate average loss rate |
| 本文献已被 CNKI 等数据库收录！ |
