寿险模型在无套利框架下的定价分析  

The Price Analysis of Life Insurance under Non-arbitrage Framework

作　　者：陈琳[1] 柳向东[1] 熊美莉[1] 

机构地区：[1]暨南大学经济学院统计学系,广州510632

出　　处：《科学技术与工程》2010年第31期7852-7855,共4页Science Technology and Engineering

摘　　要：主要讨论无套利框架下的寿险模型定价问题。即从无套利的角度对寿险产品进行定价分析,寿险投资也被纳入到模型之中,费率厘定的思路将从"投保获利"转变为"运营获利"。参照前人的无套利寿险定价模型研究成果,推广了无套利寿险定价模型中的边界条件,并在模型改进的基础上,将无套利寿险定价思想与资产份额定价方法相结合,通过测算分析,计算出合理的保费及投资策略。This article focuses on pricing problem of life insurance model under no-arbitrage framework.That has analysised the pricing of life insurance products from the point view of no-arbitrage,and life insurance investment has also been incorporated into the model,the thought of rates determination will change from ＂ insurance profit ＂ to ＂ operating profit＂.To reference the research results of predecessors on no-arbitrage pricing of life insurance,the boundary conditions of the no-arbitrage pricing of life insurance is extended,and bases on the improvements on the model,combining the idea of no-arbitrage pricing of life Insurance with asset share pricing methods,reasonable premium and investment strategies are calculated by measurement and analysis.

关 键 词：寿险定价 资产份额定价 寿险投资 无套利理论 随机微分方程 

分 类 号：F224.9[经济管理—国民经济]