| 两类团体保险保单的定价问题 |
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| 引用本文： | 龙文莉,刘余庆,汪翀. 两类团体保险保单的定价问题[J]. 经济数学, 2003, 20(3): 12-17 |
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| 作者姓名： | 龙文莉 刘余庆 汪翀 |
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| 作者单位： | 复旦大学数学研究所,上海,200433 |
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| 摘 要： | 本文试图利用金融经济学中的不确定权益方法讨论两类团体保险保单的定价问题 ,即利用偏微分方程方法和推广的精算贴现 (GEDV)方法求得定价模型的解析解
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| 关 键 词： | 风险中性概率测度 Ito’s引理 GEDV方法 |
| 修稿时间： | 2003-04-15 |
PRICING ON TWO KINDS OF GROUP INSURANCE CONTRACTS |
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| Long Wenli Liu Yuqing Wang Chong. PRICING ON TWO KINDS OF GROUP INSURANCE CONTRACTS[J]. Mathematics in Economics, 2003, 20(3): 12-17 |
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| Authors: | Long Wenli Liu Yuqing Wang Chong |
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| Abstract: | This paper aims to value two kinds of group insurance contracts by applying the contingent claims valuation approach.That is,we price the value of insurance contracts using partial differential equation(PDE)method and generalized expected discounted value(GEDV)method respectively.And we find that both methods give the same result. |
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| Keywords: | Risk neutral probability measure Ito's lemlna GEDV method |
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