基于投资理论的保险定价公式

在保险公司是风险中性的假设下,运用倒向随机微分方程的理论,研究了保险公司在风险投资框架下的保险定价问题。首先,建立了保险定价问题的线性正倒向随机微分方程数学模型;然后,根据一类特殊线性倒向随机微分方程的显式解,推出了由风险投资确定的保险定价公式;最后,进行了算例分析。

Insurance Pricing Formula Based on Investment Theory

Under the assumption that insurance companies are risk neutr al，and using the theory of backwar d stochastic differential equation ，the insurance pricing problem is studied in the framework of invest ment theory．At first，the linear fo rward-backward stochastic differen tial equation for insurance pricin g is established．Then the insuranc e pricing formula based on the inv estment theory is obtained on the basis of the explicit solution of a special class of linear backward stochastic differential equation．F inally，an example is provided．