溢额再保险定价模型  

THE MODEL OF SURPLUS REINSURANCE PRICING

作　　者：谭朵朵[1] 田伟[2] 罗洪奔[2] 

机构地区：[1]湖南大学统计学系,长沙410079 [2]广西大学商学院,南宁530004

出　　处：《经济数学》2005年第2期127-131,共5页Journal of Quantitative Economics

摘　　要：再保险定价方法以随机过程为基础,与传统的以概率统计为基础的再保险定价方法有明显的不同,它不用考虑死亡率,损失的概率分布等因素,针对溢额再保险,建立了其定价的随机微分方程,给出了具体的定价表达式.In this paper, the new reinsurance pricing method that is on the basis of stochastic process is obvious different from traditional reinsurance pricing method that are on the basis of probability statistic, it need not to consider the mortality rates and the probability ditribution of losses. With surplus reinsurance, the stochastic differential equations is given, and on this basic the pricing formula is driven.

关 键 词：溢额再保险 风险中性定价 GIRSANOV定理 定价模型 保险 随机微分方程 定价方法 随机过程 概率统计 概率分布 

分 类 号：O211.63[理学—概率论与数理统计] F830.9[理学—数学]