| 用等效用原理对马氏链市场的UL生存合约定价 |
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| 引用本文： | 肖宇谷,丁文兴.用等效用原理对马氏链市场的UL生存合约定价[J].应用数学学报,2006,29(4):587-600. |
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| 作者姓名： | 肖宇谷 丁文兴 |
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| 作者单位： | 中国科学院数学与系统科学研究院,北京,100080 |
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| 摘 要： | 利用效用无差异原理,根据动态规划原则,最大化财富的期望指数效用,在马氏链驱动的市场下,导出HJB方程,给出unit-linked(UL)生存合约在简单Poisson市场下的保费方程,并给出它的数值模拟．这个结果推广了Brown运动驱动的市场下的保费方程,使得UL生存合约在联接到纯跳的市场时,可以用效用无差异原理定价．
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| 关 键 词： | 效用无差异原理 动态规划原理 HJB方程 UL生存合约 |
| 收稿时间： | 2004-07-20 |
| 修稿时间： | 2004-07-202005-03-31 |
Picing Equity-linked Pure Endowments via the Principle of Equivalent Utility in the Markov Chain Market |
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| XIAO YUGU,DING WENXING.Picing Equity-linked Pure Endowments via the Principle of Equivalent Utility in the Markov Chain Market[J].Acta Mathematicae Applicatae Sinica,2006,29(4):587-600. |
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| Authors: | XIAO YUGU DING WENXING |
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| Institution: | Academy of Mathmematics and Systems Science, the Chinese Academy of Sciences, Beijing 100080 |
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| Abstract: | We consider a pure endowment contract whose life contingent payout is linked to the performance of a risky stock or index.And we assume the market is driven by a contimuous time homogeneous Markov chain.We price this contract via the principle of equivalent utility and attain an equation on premiun by Dynamic Programming Principle. |
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| Keywords: | indifference price Hamilton-Jacobi-Bellman equation expected utility unit-linked pure endowment insurance |
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