用等效用原理对马氏链市场的UL生存合约定价  

Picing Equity-linked Pure Endowments via the Principle of Equivalent Utility in the Markov Chain Market

作　　者：肖宇谷[1] 丁文兴[1] 

机构地区：[1]中国科学院数学与系统科学研究院,北京100080

出　　处：《应用数学学报》2006年第4期587-600,共14页Acta Mathematicae Applicatae Sinica

摘　　要：利用效用无差异原理,根据动态规划原则,最大化财富的期望指数效用,在马氏链驱动的市场下,导出HJB方程,给出unit-linked(UL)生存合约在简单Poisson市场下的保费方程,并给出它的数值模拟．这个结果推广了Brown运动驱动的市场下的保费方程,使得UL生存合约在联接到纯跳的市场时,可以用效用无差异原理定价．We consider a pure endowment contract whose life contingent payout is linked to the performance of a risky stock or index. And we assume the market is driven by a contimuous time homogeneous Markov chain. We price this contract via the principle of equivalent utility and attain an equation on premiun by Dynamic Programming Principle.

关 键 词：效用无差异原理 动态规划原理 HJB方程 UL生存合约 

分 类 号：O29[理学—应用数学]