连续付费的投资连结产品  

Equity-Based Insurance Product with Continuous Paying

作　　者：杨步青[1] 叶中行[1] 

机构地区：[1]上海交通大学应用数学系,上海200030

出　　处：《上海交通大学学报》2001年第11期1726-1729,共4页Journal of Shanghai Jiaotong University

基　　金：国家自然科学基金资助项目 ( 19970 130 )

摘　　要：关于投资连结产品的定价 ,保费趸交及保费分期支付这两种情况均有相关研究 ,而连续付费方式下的定价问题则较少见 .文中讨论了保费连续支付情形下比例划分保费的投资连结产品的定价及保费计算 ,并用金融市场的无套利条件得到了该产品价格所满足的偏微分方程 .Much research is focused on pricing equity based insurance with single premium and periodic premiums. A few consider continuous paying. The paper discussed this case.Under the assumption of complete financial market and no arbitrage opportunity, it obtained the partial differential equation that the value of benefits should follow, which in turn can be used to determine the fair premium.

关 键 词：投资连结产品 连续付费 无套利条件 寿险 保险金 定价 保费 偏微分方程 

分 类 号：F840.62[经济管理—保险] F224