一种风险度量与保费定价模式  

A risk-measure and premium pricing model

作　　者：沈银芳[1] 

机构地区：[1]浙江大学数学系,浙江杭州310028

出　　处：《浙江大学学报（理学版）》2004年第5期494-497,共4页Journal of Zhejiang University（Science Edition）

基　　金：国家自然科学基金资助项目 ( 10 0 710 72 )

摘　　要：在“修正确定等价”(modified certainty equivalent)风险度量模式的基础上 ,引入风险度量安全系数λ,建立了一种适用范围更广的组合风险的度量模式——安全修正风险度量 ,从而也得到一种组合风险的保费定价模式 .由此 ,达到了风险的度量和保费定价的有机结合 ,同时 ,也将经典的“平均值原理”从个体风险推广到了组合投资和组合风险的度量定价中 .A λ named risk-measure-safety index is introduced, and a risk-measure model named safety modified risk measure, which is adapt to the combined risks are also introduced, on the basis of “modified certainty equivalent” risk measure, hence, a premium pricing principle is obtained for combined risks. And by this means, risk measure and premium pricing are related, Meanwhile, from this way, “the mean value principle” can be applied into the portfolio investment and pricing for the combined risks.

关 键 词：风险度量 风险度量安全系数 保费定价模式 组合投资 

分 类 号：O211.67[理学—概率论与数理统计]