存在自由退保情况下的投资连结保单定价分析  

Pricing Analysis of Unit-Linked InsuranceProduct with Surrender Nature

作　　者：余晗烨[1] 李恒[1] 

机构地区：[1]复旦大学数学研究所,上海200433

出　　处：《复旦学报（自然科学版）》2003年第2期178-182,共5页Journal of Fudan University：Natural Science

基　　金：国家自然科学基金资助项目(19831020)

摘　　要：运用金融经济学中美式期权定价理论讨论存在自由退保情况下的投资连结保单定价,建立模型并以偏微分方程的形式表现出来,分析此偏微分方程并详细讨论保单在临近有效期末时的退保情况.Using the financial pricing techniques, pricing of UnitLinked insurance product is analyzed as the product is with surrender nature and mathematical model is developed in the form of Partial Differential Equation. By analyzing these Partial Differential Equations in the model, surrender condition is solved near the end of policy cover term.

关 键 词：提前退保 自由边界 局部分析 偏微分方程 相似解 保险市场 投资连结保单 自由退保 保单定价 

分 类 号：F840[经济管理—保险]