寿险模型在无套利框架下的定价分析
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F224.9i

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The price analysis of Life insurance under non-arbitrage framework
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    摘要:

    本文主要讨论无套利框架下的寿险模型定价问题。即从无套利的角度对寿险产品进行定价分析,寿险投资也被纳入到模型之中,费率厘定的思路将从“投保获利”转变为“运营获利”。本文参照前人的无套利寿险定价模型研究成果,推广了无套利寿险定价模型中的边界条件,并在模型改进的基础上,将无套利寿险定价思想与资产份额定价方法相结合,通过测算分析,计算出合理的保费及投资策略。

    Abstract:

    This article focuses on pricing problem of Life Insurance Model under no-arbitrage framework . That analysis the pricing of life insurance products from the point view of no-arbitrage, and life insurance investment has also been incorporated into the model , the thought of rates determination will change from "insurance profit " to "operating profit." This article references to the research results of predecessors on no-arbitrage pricing of life Insurance, extensing the boundary conditions of the no-arbitrage pricing of life Insurance, and it bases on the improvements on the model ,combining the idea of no-arbitrage pricing of life Insurance with asset share pricing methods , calculate reasonable premium and investment strategies by measurement and analysis.

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陈琳,柳向东,熊美莉. 寿险模型在无套利框架下的定价分析[J]. 科学技术与工程, 2010, (31): .
chenlin, Liu xiangdong, Xiong meili. The price analysis of Life insurance under non-arbitrage framework[J]. Science Technology and Engineering,2010,(31).

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  • 收稿日期:2010-08-02
  • 最后修改日期:2010-08-31
  • 录用日期:2010-08-16
  • 在线发布日期: 2010-09-29
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