| 基于投资理论的保险定价模型 |
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| 引用本文： | 李学锋.基于投资理论的保险定价模型[J].中南民族大学学报(自然科学版),2007,26(4):87-89. |
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| 作者姓名： | 李学锋 |
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| 作者单位： | 中南民族大学计算机科学学院 武汉430074 |
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| 摘 要： | 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,根据一类特殊线性正倒向随机微分方程的显式解,推出了由风险投资所确定的保险定价公式.该模型对保险公司合理收取保费提供理论参考.
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| 关 键 词： | 保险定价 随机微分方程 伊藤微分公式 |
| 文章编号： | 1672-4321(2007)04-0087-03 |
| 修稿时间： | 2007年9月4日 |
Insurance Pricing Model Base on Investment Theory |
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| Li Xuefeng.Insurance Pricing Model Base on Investment Theory[J].Journal of South-Central Univ for,2007,26(4):87-89. |
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| Authors: | Li Xuefeng |
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| Abstract: | Using the theory of backward stochastic differential equation,this paper studied the insurance pricing problem 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 base on the investment theory is obtained on the basis of the explicit solution of a special class of linear backward stochastic differential equation.The model has important theoretical significance and practical application value for the insurance companies in solving proper premium. |
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| Keywords: | insurance pricing stochastic differential equation Ito differential formula |
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