摘要
比例担保是一种担保机构与商业银行风险共担、利益共享的良好机制,担保费是信用担保机构的一种风险补偿。基于比例担保与向下敲出的欧式看跌障碍期权具有完全的同构性,利用期权定价的保险精算思路给出比例担保理论担保费的定价模型,最后利用该模型所提出的定价方法做一个实证算例。
The proportional guarantee is a kind of guarantee product which can share the risk and the return with the commercial bank,the guarantee premium is the risk compensation to the credit guarantee institutions. Based on the complete isomorphism between the proportion guarantee and the down and out put European Option,we can gain the pricing model of the proportional guarantee with the actuarial method of option pricing theory. At last,this paper gives an actuarial example.
作者
王祥宇
吴建华
WANG Xiang-yu;WU Jian-hua(School of Finance,Shandong University of Finance and Economics,Jinan 250200,China;School of Mathematical Sciences,University of Jinan,Jinan 250022,China)
出处
《经济研究导刊》
2018年第19期64-69,共6页
Economic Research Guide
基金
山东省高校人文社科计划项目"基于非参数贝叶斯分层模型的信息不完全下信用风险量化研究"(J17RA103)
