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基于投资的再保险定价公式
引用本文:邓志民,张润楚.基于投资的再保险定价公式[J].高校应用数学学报(A辑),2006,21(1):9-14.
作者姓名:邓志民  张润楚
作者单位:1. 南开大学,数学学院统计学系,天津,300071;广东工业大学,应用数学学院,广东广州,510643
2. 南开大学,数学学院统计学系,天津,300071
基金项目:国家自然科学基金(10171051)
摘    要:从系统的观点出发,把保险公司的赔付情况与投资收益相结合,对比例再保险和超额损失再保险,建立了在投资背景下它们应满足的线性正倒向随机微分方程.根据一类特殊线性倒向随机微分方程的显式解,给出了基于投资的再保险定价公式,为保险公司厘订再保险保费提供了新的方法.

关 键 词:正倒向随机微分方程  伊藤微分公式  比例再保险  超额损失再保险
文章编号:1000-4424(2006)01-0009-06
收稿时间:2003-09-23
修稿时间:2003-09-23

Reinsurance pricing formulas based on investment
DENG Zhi-min,ZHANG Run-chu.Reinsurance pricing formulas based on investment[J].Applied Mathematics A Journal of Chinese Universities,2006,21(1):9-14.
Authors:DENG Zhi-min  ZHANG Run-chu
Institution:Department of Statistics, Nankai University, Tianjin 300071, China
Abstract:Starting from systematic view,the paper integrates compensations that insuers will be up against with its return on investment and establishes linear forward-backward stochastic differential equations for proportional and excess-of-loss reinsurance premiums.The reinsurance pricing formulas are obtained on the basis of the explicit solution of a special class of their linear backward stochastic differential equations.The results have a directly helpful role for insuers to make reinsurance premiums.
Keywords:forward-backward stochastic differential equation  It's differential formula  proportional reinsurance  excess-of-loss reinsurance
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