带Poisson跳的无套利模型下的寿险定价分析  

Pricing life insurance on no-arbitrage model with Poisson jump-diffusion

作　　者：柳向东[1] 寇璐[1] 

机构地区：[1]暨南大学经济学院统计学系,广东广州510632

出　　处：《暨南大学学报（自然科学与医学版）》2012年第5期439-443,共5页Journal of Jinan University(Natural Science & Medicine Edition)

基　　金：中央高校基本科研业务费专项资金资助项目(10JYB2019)

摘　　要：主要讨论带Poisson跳的无套利模型下的寿险定价问题.资产价格变动既有"正常"的变动,也有"不正常"的变动."不正常"的变动通常是重要的信息到达所造成的.由于信息的到达往往在一些离散的时间点,因而用Poisson过程来描述这一变动,从而得出了带Poisson跳的无套利模型下的寿险定价的偏微分方程;此外,将其与资产份额定价方法结合,并通过严格的证明,得到了相应的投资策略.This article focuses on pricing problem of life insurance on no-arbitrage model with Poisson jump-diffusion. In view of asset price movements, the ＂normal＂ vibrations and the ＂abnormal＂ vibrations. This is always because the vibrations resulted in for arriving important information. Because the arrival of information usually dicks on time in some discretes, so this is described by Poisson process. This article obtained the partial differential equations for pricing life insurance under the Poisson jump-diffusion with a life insurance pricing model; Besides, they combined with the asset share pricing methods and strictly prove to obtain the corresponding investment strategy.

关 键 词：带Poisson跳的无套利模型 寿险定价 偏微分方程 资产份额定价 

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