免赔额保险公平定价的期权博弈分析  

The Option Game Analysis of Fair Valuation for Deductible Insurance

作　　者：孙建胜 王文举[2] 

机构地区：[1]中国人民保险集团公司博士后工作站,北京100084 [2]首都经济贸易大学,北京100026

出　　处：《数学的实践与认识》2007年第24期9-15,共7页Mathematics in Practice and Theory

基　　金：国家社科基金项目"博弈论应用与经济动态模拟研究"(02EJY003)

摘　　要：传统保险定价实质上是供给方定价,忽视了保险契约是保险人和投保人双方互动决策的结果.另一方面,保单具有或有权益的性质,这使得近年来金融定价方法得以引入到保险定价中,以反映风险和回报之间的长期均衡关系.借助期权博弈框架引入博弈论和期权定价理论,分析了免赔额保险的公平定价问题,给出了基本模型和扩展模型两种情形下博弈均衡结果,即保单的无套利价值,并发现在扩展模型情形下,投保人的最优投保策略和均衡保险合同均发生变化.Traditional insurance pricing actually is supply-sided pricing, ignoring the fact that insurance contract is the result of dynamic decision-making between the insurer and insured. At the other hand, insurance policy is characteristic of contingent claims and financial pricing models in recent years have been introduced into the insurance pricing to reflect the long-term equilibrium relationships between risk and return. By introducing the game theory and option pricing theory under the frame of option game, this paper analyzes the problem of fair valuation of deductible insurance, and gives the equilibrium outcome of game （i.e. the arbitrage-free value） in the both case of basic model and expanded model, only to find that in the latter case, both the insuredts optimal strategy and the equilibrium of insurance contract have changed.

关 键 词：期权博弈 公平定价 免赔额保险 

分 类 号：F840[经济管理—保险] F224.32