中国保险市场与投资市场的互动研究:定价方法与实证

从新的观点出发,把保险公司的赔付情况与投资收益结合,对保险建立在一类条件较弱的投资背景下的线性正倒向随机微分方程的改进模型。根据一类特殊线性倒向随机微分方程的显式解,加入时间序列预测方法,给出了基于投资的保险定价公式,为保险公司厘定保险的保费提供新的可行性方法。

China insurance market and investment market interaction research: pricing way and demonstration

From a new point,combining the payment of insurance companies and investment income,this paper builds a improved model on the linear forward-backward stochastic differential equations in the context of investment with a class of weak conditions based on insurance.According to the explicit solution of a special class of linear backward stochastic differential equations,adding time series forecasting methods,the paper gives insurance pricing formula based on investment and provides a new feasible method of the insurance pricing for insurance companies.