| 考虑准备金的再保险投资定价研究 |
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| 引用本文： | 崔嵬,荣喜民. 考虑准备金的再保险投资定价研究[J]. 天津理工大学学报, 2006, 22(5): 56-58 |
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| 作者姓名： | 崔嵬 荣喜民 |
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| 作者单位： | 天津大学,理学院,天津,300072 |
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| 基金项目： | 南开大学校科研和教改项目 |
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| 摘 要： | 本文利用倒向随机微分方程的理论，在考虑保险公司提计准备金的背景下研究投资对于保险价格的影响，建立了再保险投资定价的正倒向微分随机方程的模型，并给出了保险价格的显性解．为保险人进行保险价格调整提供了依据，增强了保险人的竞争力，有很大的现实意义．最后通过算例进行了可行性分析．
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| 关 键 词： | 正倒向微分随机方程 伊藤公式 保险投资 准备金 再保险 |
| 文章编号： | 1673-095X（2006）05-0056-03 |
| 收稿时间： | 2006-05-29 |
| 修稿时间： | 2006-05-29 |
Effect of investment with reserve for insurance price |
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| CUI Wei,RONG Xi-min. Effect of investment with reserve for insurance price[J]. Journal of Tianjin University of Technology, 2006, 22(5): 56-58 |
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| Authors: | CUI Wei RONG Xi-min |
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| Affiliation: | School of Science, Tianjin University, Tianjin 300072, China |
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| Abstract: | This paper research on the effect of investment with reserve for insurance price by theory of backward stochastic differential equation. Modeling the investment with backward stochastic differential equation and the resultts got. It provides some basis and more practical significance for insurer to adjust the price. At last, the feasibility is analyzed by the example. |
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| Keywords: | backward stochastic differential equation Ito formula insurance investment reserve reinsurance |
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