| 有保证权益连结寿险合约的定价 |
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| 引用本文： | 张鸿雁,刘志兵.有保证权益连结寿险合约的定价[J].数学理论与应用,2012(2):1-7. |
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| 作者姓名： | 张鸿雁 刘志兵 |
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| 作者单位： | 中南大学数学科学与计算技术学院 |
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| 基金项目： | 湖南省自然科学基金(10JJ5001);中南大学2010年研究生学位论文创新项目(2010ssxt125)资助 |
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| 摘 要： | 本文在考虑买卖标的股票需支付比例交易成本的条件下,根据效用最大化原理,将效用无差别定价方法应用到有保证权益连结寿险合约的定价上,给出了合约保留卖价的表达式,并做了数值模拟,计算结果表明本文的方法是合理的.
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| 关 键 词： | 权益连结寿险 比例交易成本 效用无差别 定价 |
Pricing of Equity-linked Life Insurance Contract with Guarantee |
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| Zhang Hongyan Liu Zhibing.Pricing of Equity-linked Life Insurance Contract with Guarantee[J].Mathematical Theory and Applications,2012(2):1-7. |
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| Authors: | Zhang Hongyan Liu Zhibing |
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| Institution: | Zhang Hongyan Liu Zhibing(School of Mathematics and Computing Technology,Central South University,Changsha,410083,China) |
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| Abstract: | In this paper,given proportional transaction costs when buying or selling the underlying stocks,we apply the utility indifference pricing method based utility maximizing formula to the equity-linked life insurance contract with guarantee,the reservation write price expression is derived,which needs to solve numerically.Then we give an efficient numerical algorithm,computation results show that the method is reasonable. |
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| Keywords: | Equity-Linked Insurance Proportional Transaction Costs Utility Indifference Pricing |
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