不完备市场下分红保险的指数效用定价  

Exponential Utility Pricing of Participating Life Insurance Contracts under Incomplete Market

作　　者：方卫东[1] 曹高文[1] 何春雄[1] 

机构地区：[1]华南理工大学数学科学学院,广州510640

出　　处：《科学技术与工程》2008年第6期1393-1397,共5页Science Technology and Engineering

摘　　要：分红保险属于保险公司的债务,由于其在设计过程中自带的期权性质将影响保险公司的利润和偿付能力,对它的定价不容忽视。在假定保单持有人的投资组合中,股票价格服从跳跃-扩散过程并假定保单持有人是风险厌恶型,其效用函数为指数函数,运用等价鞅测度的理论,建立了计算保单价值的MEMM模型并给出了相应的定价公式。The participating life insurance contracts represent liabilities to the issuers implying that their value and the embedded options included in the design of these contracts will affect the profit and the solvency of the insurance company, it should be properly valued. MEMM pricing model for these contracts which providing interest rate guarantees is developed, when a jump-diffusion for the evolution of the underlying reference portfolio is used and the investors is risk aversion and the utility function is exponential utility function.

关 键 词：分红寿险 MEMM 不完备市场 LEVY过程 等价鞅测度 

分 类 号：O211.9[理学—概率论与数理统计]