资本资产定价模型的扩展及其在保险中的应用  

Research on the Expansion of the Capital Asset Pricing Model and Its Applications in Insurance

作　　者：张鸿雁[1] 李丽玲[1] 

机构地区：[1]中南大学数学与统计学院,长沙410083

出　　处：《成都理工大学学报（社会科学版）》2014年第3期57-62,共6页Journal of Chengdu University of Technology:Social Sciences

基　　金：湖南省自然科学基金课题"基于习惯形成偏好的金融决策优化理论与模型研究"(10JJ5001);中南大学自由探索计划"投资组合模糊优化理论模型与方法研究"(Z12072)

摘　　要：传统的资本资产定价模型是在一系列过于严格化、理想化的条件下建立起来的。针对现实资本市场情况,通过对资本资产定价模型的应用条件的部分修改,如增加保险公司存在违约风险、交易费用和税收的条件,并且讨论交易费用分别为固定值和保费的函数时的情形以及税收分为固定值和变量的情形,对保费定价问题进行模型扩展。理论推导结果显示,在存在违约风险情况下,保险公司所收保费应该更低;承保费用越少,所需保费就越少;存在税负条件下的公平保费与税收水平有关。The traditional capital asset pricing model is built on a series of conditions,but they are too strict and ideal. According to the reality of capital market,we have to make some modifications to the application conditions of the capital asset pricing model.For example,by adding the conditions of default risk of insurance company,transaction cost and tax.Then we discuss the situation of transaction costs are fixed value and it is the function of premium.At last,we also discuss the situation of the tax fixed values and variables.And we extend the Premium pricing model.The theoretical results show that if the insurance company exits default risk,the premium should be lower.The less underwriting cost is required,the less premium is required.The fair premium under the conditions of tax associated with the level of taxation.

关 键 词：资本资产定价模型 公平保费 财产保险 

分 类 号：F840.48[经济管理—保险]