摘要
本文利用倒向随机微分方程建立了以承保风险为控制变量的保险投资定价模型,并通过分析给出了由投资决定的保险价格公式。由投资来发现保险价格,为保险人进行保险价格调整提供了依据,对保险人进行保险投资和定价有极大的现实意义。
In this paper, author use the backward stochastic differential equation to the model of field insurance investment pricing with respect to the control variable of underwriting risk, and give insurance price formula be decided by investment of premium. From which the prices can be found due to investment, it give some basis for insurer to adjust insurance price, and provides more practical significance for insurer to investment and insurance pricing.
出处
《预测》
CSSCI
2003年第5期6-9,共4页
Forecasting
基金
南开大学天津大学刘徽应用数学中心资助项目(2002T07)
关键词
累积损失
投资定价
适应的
倒向随机微分方程
aggregate claims
investment pricing
adapted
backward stochastic differential equation
