隐含风险中性分布在巨灾超额损失再保险定价中的应用  

THE APPLICATION OF IMPLIED RISK NEUTRAL DISTRIBUTION TO CATASTROPHIC EXCESS-OF-LOSS REINSURANCE PRICING

作　　者：杨刚[1,2] 刘再明[1] 欧阳资生[2] 李学全[3] 

机构地区：[1]中南大学数学科学与计算技术学院,湖南长沙410075 [2]湖南商学院信息系,湖南长沙410205 [3]湖南省第一师范学校,湖南长沙410002

出　　处：《经济数学》2008年第4期331-337,共7页Journal of Quantitative Economics

基　　金：国家自然科学基金(No.10371133);中南大学博士创新基金(No.3340-75206);湖南省软科学(No.2005ZK3028)资助项目;湖南省教育厅科技处课题(No.05B070)

摘　　要：通过与标的风险相关的期权市场估计出隐含变换系数,然后以Esscher变换为工具,将巨灾损失统计分布风险中性化,从而对以该非交易风险为标的的巨灾超额损失再保险进行定价.同时,从期权定价的角度,结合Weibull极值分布和超额损失再保险的特点,给出了巨灾超额损失再保险定价的闭型表达式.The implied tilting coefficient is estimated by virtue of options markets related to underlying risks. And then the catastrophic loss statistical distribution is risk-neutralized by Esscher transform. So we can price for the catastrophic excess- of-loss reinsurance contract on the non-traded underlying risks. Simultaneously, from the point of view of option pricing, the closed expression to the pricing of catastrophic excess-of-loss reinsurance is presented while considering the chacteristics the chacteristics of Weibull distribution and the ecess-of-loss reinsurance contract.

关 键 词：隐含风险中性分布 超额损失再保险 weibull分布 Esscher变换 

分 类 号：O211.9[理学—概率论与数理统计] F224.7[理学—数学]