基于个体公平原则的寿险产品定价模型

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.

The Pricing Model of Life Insurance Products Based on the Principle of Individual Equity

On the basis of the no arbitrage pricing model ,this article discussed the problem of life insurance product pri‐cing based on the principle of individual equity .Using the theory of backward stochastic differential equation ,the policyholders and the insured were considered in the same system .First of all ,according to the target of the policy holder's investment deci‐sion ,this paper established the non arbitrage life insurance pricing model ,and at the same time ,according to the target of the insurer's investment decision ,this paper established the asset share pricing model ,and the explicit solutions of the two special linear backward stochastic differential equations were obtained .Then ,this article established the life insurance pricing model based on the principle of individual equity .The model considers both the angle of the insured and the insurer ,and obtains the pricing formula of the investment return .Finally ,the insurance case was analyzed by using the established model ,meanwhile , the insurance company's investment strategy and premium based on the principle of individual equity were calculated .The life insurance product pricing model considers both the insurer and the actual situation of the insured .Therefore ,the insurance product developed by this pricing method can not only improve the success rate of product research and development ,but also make the new products with stronger competitiveness in the fierce competition in the insurance market .