| 基于PORT及王变换下汽车保险期权定价研究 |
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| 引用本文： | 周佰成,崔伟,吕海升.基于PORT及王变换下汽车保险期权定价研究[J].东北师大学报(哲学社会科学版),2011(5):26-30. |
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| 作者姓名： | 周佰成 崔伟 吕海升 |
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| 作者单位： | 吉林大学国有经济研究中心;吉林大学经济学院;吉林大学马克思主义学院; |
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| 基金项目： | 国家社会科学基金项目(11CJY105); 吉林省社会科学基金项目(2011B031); 教育部人文社会科学重点研究基地重大项目(08JJD790153) |
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| 摘 要： | 笔者从汽车保险风险转移方式出发,利用随机门限值方法(即PORT方法),以及王变换方法,给出了一年期汽车保险索赔额期权定价公式。并以太平洋保险公司的有关索赔数据作为样本,对其进行实证研究,得到汽车保险索赔额期权价格,具有很好的理论意义和现实意义。
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| 关 键 词： | PORT方法 王变换 期权 |
Study on the Pricing of Car Insurance Options Based on PORT and Wang Transform |
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| ZHOU Bai-cheng,CUI Wei,LV Hai-sheng.Study on the Pricing of Car Insurance Options Based on PORT and Wang Transform[J].Journal of Northeast Normal University(Social Science),2011(5):26-30. |
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| Authors: | ZHOU Bai-cheng CUI Wei LV Hai-sheng |
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| Institution: | ZHOU Bai-cheng1,CUI Wei2,LV Hai-sheng3 (1.China Center for Public Sector Economy Research,Jilin University,Changchun 130012,China,2.Economics School,3.Marxist School,China) |
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| Abstract: | We consider a new way to transfer the car insurance risks using the PORT method and Wang transform,and finally give the pricing formula of one year car insurance claims options.As a sample of claim data from Pacific Insurance Agency,using the pricing model,we get the approximate price of car insurance claims options,which has good theoretical and practical significance. |
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| Keywords: | PORT Wang Transform Option |
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