经济数学2016，Vol.33Issue(2)：9-14,6.
基于个体公平原则的寿险产品定价模型
The Pricing Model of Life Insurance Products Based on the Principle of Individual Equity
摘要
Abstract
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 .关键词
应用统计数学/寿险定价模型/无套利定价/资产份额定价/个体公平原则Key words
Applied Statistical Mathematics/Life insurance pricing model/non arbitrage pricing/asset share pricing/in-dividual equity principle分类
经济学引用本文复制引用
赵明清,张晓晓,陈玉澎..基于个体公平原则的寿险产品定价模型[J].经济数学,2016,33(2):9-14,6.基金项目
国家自然科学基金项目（61502280）；山东省研究生教育创新计划资助项目 （）
