摘要
在风险中性假设下,利用鞅和偏微分方程等方法,给出了终身寿险型投资连结保单的定价模型和方法,得到了保单的定价公式,并给出了定价的闭合解,分析了关键参数对保单价值的影响.实证分析表明,模型与实际吻合.
Based on the risk-neutral assumption, the pricing model and the solving approach of the whole-life-equity-linked policies were provided and the pricing formula of the policies was given in closed-form, by using the principle of expected discount and PDE approach. How the key parameter affects the policies values was discussed. The numerical tests show that the model is in accord with the practical case.
出处
《上海理工大学学报》
CAS
北大核心
2009年第1期80-84,共5页
Journal of University of Shanghai For Science and Technology
基金
上海市重点学科建设资助项目(T0502)
江西省教育厅科技研究资助项目(GJJ09257)
江西省自然科学基金资助项目(0511006)
关键词
投资连结
保单定价
风险中性
终身寿险
死亡效力
equity-linked
policy pricing
risk-neutral
whole-life-equity-linked
death force
