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传统保险定价实质上是供给方定价,忽视了保险契约是保险人和投保人双方互动决策的结果.另一方面,保单具有或有权益的性质,这使得近年来金融定价方法得以引入到保险定价中,以反映风险和回报之间的长期均衡关系.借助期权博弈框架引入博弈论和期权定价理论,分析了免赔额保险的公平定价问题,给出了基本模型和扩展模型两种情形下博弈均衡结果,即保单的无套利价值,并发现在扩展模型情形下,投保人的最优投保策略和均衡保险合同均发生变化.
Traditional insurance pricing is essentially the supply-side pricing, ignoring the fact that the insurance contract is the result of interactive decision-making by both the insurer and the insured.On the other hand, the policy has the nature of contingent interest, which makes the financial pricing method in recent years can be introduced into the insurance pricing In order to reflect the long-term equilibrium relationship between risk and return.With the help of the option game framework, the game theory and option pricing theory are introduced to analyze the fair pricing problem of the deductible insurance, and the game under the two basic models and the extended model The equilibrium result, that is, the non-arbitrage value of the policy, shows that in the extended model case, both the optimal policy of insured persons and the equilibrium insurance contract are changed.