基于资产定价理论的保险费率研究

CAPM在考虑保险基金运用的基础上,可用于风险附加费率的厘定;B-S模型可用于确定保险公司的承保限额和财险产品的定价,但不适用于寿险产品费率厘定。在应用上述资产定价模型于保险费率厘定时,须计算预期损失的一阶矩(期望)或二阶矩(方差),与传统保险费率厘定方式并无本质区别,而实际损失分布函数大多严重右偏,因此,它们对保险费率研究做出了方法论上的贡献。文章还指出,确定合适参数条件、针对不同险种寻找恰当损失分布函数将是保险费率研究发展的方向和重点。

A Study on the Insurance Rates Based on Asset Pricing Theory

In considering the use of insurance funds,CAPM can be used for the determination of the attached risk price.B-S model can be used to determine underwriting limits and the price of property insurance products,but not for determining the price of life insurance products.In applying the capital asset pricing model in determining the insurance rate,we should calculate the expected loss of a first-order moments(expectations) or second-order moment(variance),which has no essential difference with the traditional ...