数据驱动的互联网财产险期权定价模型  

Data-driven internet property insurance option pricing model

作　　者：袁峰[1] 陶鑫 邵祥理 YUAN Feng;TAO Xin;SHAO Xiang-li(School of Management,Shenyang University of Technology,Shenyang 110870,China;China Banking and Insurance Regulatory Commission,Beijing 100033,China)

机构地区：[1]沈阳工业大学管理学院,沈阳110870 [2]中国银行保险监督管理委员会,北京100033

出　　处：《沈阳工业大学学报（社会科学版）》2021年第5期450-457,共8页Journal of Shenyang University of Technology(Social Sciences)

基　　金：国家社会科学基金项目(19BGL045);辽宁省教育厅资助项目(WQGD2019001)。

摘　　要：随着市场保险产品需求量不断增大,原有的传统保险定价方法计算冗杂,保险定价存在若干相关风险。保险公司原有定价方法已不能较好地满足市场需求,因而研究解决保险公司财产险定价问题具有重要意义。以具有较为明显期权结构特征的机动车交强险为例,综合考虑互联网财产险的特点、险种保险条约并探索其所具有的期权结构,创新性地将期权定价引入互联网财产险具体险种定价应用中。结合无套利原理、欧式期权定价及蒙特卡洛模拟等构建互联网财产险定价模型,并验证模型的可行性。结果表明,在此数据驱动下建立的模型能够达到为中小保险企业提供互联网财产险定价决策的目的,为保险企业定价决策提供参考。With the increasing demand for insurance products in the market,the calculation of traditional insurance pricing methods is cumbersome,and there are some related risks in insurance pricing.The original pricing method of insurance companies cannot meet the market demand.Hence,it is of great significance to study and solve the problem of property insurance pricing.Taking motor vehicle traffic compulsory insurance with obvious option structure as an example,considering the characteristics of Internet property insurance,insurance treaties and exploring its option structure,the option pricing is introduced innovatively into the pricing application of specific types of Internet property insurance.Combined with no arbitrage principle,European option pricing and Monte Carlo simulation,the Internet property insurance pricing model is built,and the feasibility of the model is verified.The results show that the model established under the data-driven model can achieve the objective of providing small and medium-sized insurance enterprises with internet property insurance pricing decision-making,and provide a reference for the pricing decision-making of insurance enterprises.

关 键 词：互联网财产险 期权定价 蒙特卡洛模拟 无套利原理 欧式期权定价 数据驱动 

分 类 号：F842.4[经济管理—保险]