基于个体公平原则的寿险产品定价模型.docx

基于个体公平原则的寿险产品定价模型摘要在无套利框架的基础上讨论基于个体公平原则下的寿险产品定价问题即运用倒向随机微分方程理论将投保人和保险人置于同一系统中进行考虑：首先根据双方的随机投资决策目标分别建立无套利寿险定价模型和动态资产份额定价模型得出两个特殊线性倒向随机微分方程的显式解；然后建立基于个体公平原则的寿险定价模型从投保人和保险人双方的角度对寿险产品进行公平定价得出了从供需双方考虑的投资回报定价公式；最后利用所建立的模型进行案例分析计算出基于个体公平原则的保费及保险公司的投资策略.该寿险产品定价模型不仅考虑了保险人的意愿还同时考虑了投保人的实际情况因此按此定价理念开发出的保险产品不仅可以提高产品研发的成功率而且使得研发出的新产品更能在竞争激烈的保险市场中站稳脚步.关键词应用统计数学；寿险定价模型；无套利定价；资产份额定价；个体公平原则中图分类号F840.32文献标识码AAbstractOnthebasisofthenoarbitragepricingmodelthisarticlediscussedtheproblemoflifeinsuranceproductpricingbasedontheprincipleofindividualequity.Usingthetheoryofbackwardstochasticdifferentialequationthepolicyholdersandtheinsuredwereconsideredinthesamesystem.Firstofallaccordingtothetargetofthepolicyholder'sinvestmentdecisionthispaperestablishedthenonarbitragelifeinsurancepricingmodelandatthesametimeaccordingtothetargetoftheinsurer'sinvestmentdecisionthispaperestablishedtheassetsharepricingmodelandtheexplicitsolutionsofthetwospeciallinearbackwardstochasticdifferentialequationswereobtained.Thenthisarticleestablishedthelifeinsurancepricingmodelbasedontheprincipleofindividualequity.Themodelconsidersboththeangleoftheinsuredandtheinsurerandobtainsthepricingformulaoftheinvestmentreturn.Finallytheinsurancecasewasanalyzedbyusingtheestablishedmodelmeanwhiletheinsurancecompany'sinvestmentstrategyandpremiumbasedontheprincipleofindividualequitywerecalculated.Thelifeinsuranceproductpricingmodelconsidersboththeinsurerandtheactualsituationoftheinsured.Thereforetheinsuranceproductdevelopedbythispricingmethodcannotonlyimprovethesuccessrateofproductresearchanddevelopmentbutalsomakethenewproductswithstrongercompetitivenessinthefiercecompetitionintheinsurancemarket.KeywordsAppliedStatisticalMathematics；Lifeinsurancepricingmodel；nonarbitrage