可转化为保障型的投资连结型保单的定价问题  

Two Pricing Models of Equity-linked Policy that Can Be Transformed to Traditional Policy

作　　者：刘余庆[1] 龙文莉[1] 汪翀[1] 

机构地区：[1]复旦大学数学研究所

出　　处：《复旦学报（自然科学版）》2004年第3期329-335,共7页Journal of Fudan University：Natural Science

基　　金：国家自然科学基金重点资助项目 (1 9831 0 2 0 )

摘　　要：利用条件期望的方法讨论一类可以在离散时刻转化为保障型的投资连结保单的定价问题 ,再利用金融经济学的方法讨论可在任意时刻转化为保障型的投资连结保单的定价问题 ,即将模型归结为偏微分方程并求得解析解 .Two pricing models of equity-linked policy that can be transformed to traditional policy are considered in the article. The solution of one policy that can be transformed at certain times is obtained by conditional expectation, while the solution of the other that can be transformed at any time is solved by partial differential equation according to financial economics.

关 键 词：保障型 投资连结保单 定价 偏微分方程 条件期望 Ito’s引理 

分 类 号：F840[经济管理—保险] O175.13[理学—数学]