资本资产定价模型的扩展及其在保险中的应用

传统的资本资产定价模型是在一系列过于严格化、理想化的条件下建立起来的。针对现实资本市场情况,通过对资本资产定价模型的应用条件的部分修改,如增加保险公司存在违约风险、交易费用和税收的条件,并且讨论交易费用分别为固定值和保费的函数时的情形以及税收分为固定值和变量的情形,对保费定价问题进行模型扩展。理论推导结果显示,在存在违约风险情况下,保险公司所收保费应该更低;承保费用越少,所需保费就越少;存在税负条件下的公平保费与税收水平有关。

Research on the Expansion of the Capital Asset Pricing Model and Its Applications in Insurance

The traditional capital asset pricing model is built on a series of conditions,but they are too strict and ideal. According to the reality of capital market,we have to make some modifications to the application conditions of the capital asset pricing model.For example,by adding the conditions of default risk of insurance company,transaction cost and tax.Then we discuss the situation of transaction costs are fixed value and it is the function of premium.At last,we also discuss the situation of the tax fixed values and variables.And we extend the Premium pricing model.The theoretical results show that if the insurance company exits default risk,the premium should be lower.The less underwriting cost is required,the less premium is required.The fair premium under the conditions of tax associated with the level of taxation.