| 具有违约风险的人寿保险的最优定价 |
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| 引用本文： | 毛宏,唐国春.具有违约风险的人寿保险的最优定价[J].运筹学学报,2008,12(1):16-24. |
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| 作者姓名： | 毛宏 唐国春 |
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| 作者单位： | 上海第二工业大学经济管理学院,上海,201209 |
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| 摘 要： | 本文探讨具有违约风险的人寿保险的最优定价.我们从Black-Scholes的期权定价模型出发,考虑风险管理和准备金的要求,根据一次支付和均衡支付这两种不同的假设分别建立两个优化模型,并且借助于优化技术获得最优解.数量化分析结果表明,两个模型的最优价格对于利息率参数以及非索赔成本的变化都不敏感.这说明这两个模型是稳定的,而且是实用的.
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| 关 键 词： | 运筹学 最优 期望净现值 违约卖出期权 Operations research optimal expected net present value default put option 违约风险 人寿保险 最优定价 Risks Default Pricing Life Insurance results stable practical numerical analysis show the optimum parameters interest rate optimal solutions help technique level optimization |
| 修稿时间： | 2005年10月18 |
Optimal Life Insurance Pricing with Default Risks |
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| Mao Hong,Tang Guochun.Optimal Life Insurance Pricing with Default Risks[J].OR Transactions,2008,12(1):16-24. |
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| Authors: | Mao Hong Tang Guochun |
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| Abstract: | In this paper we examine optimal life insurance pricing with default risk.We start from Black-Scholes option pricing model.consider the requirement of risk management and reserves,and establish two optimization models based on two difierent premium payment assumptions,a lump sum premmm Payment and a level premium payment.With the help of optimization technique,we obtain optimal solutions.The numerical analysis show that the optimum prices for both models are all insensitive to the change of parameters of interest rate and non-claim expenses.Therefore,the results demonstrate that these two models are stable and practical to use. |
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| Keywords: | Operations research optimal expected net present value default put option |
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