摘要
一般情况下,保险产品的保费支付是在离散时刻进行。理论上为便于研究,通常会假定保费连续支付。本文将保费 分期支付的投资连结产品推广到连续付费情形,用金融市场的无套利条件得到了投资连结产品价格所满足的偏微分方程, 并计算了投资连结产品的公平保费(fair premium)。
Much research is focused on pricing equity-based insurance with single premium and periodic premiums. A few consider the case of continuous paying. However, continuous-paid premium is usually involved in the research of reserve and apportionable premiums, therefore it is worthwhile to study it. The paper discusses this case. Under the assumption oi complete financial market and no arbitrage opportunity, I obtain the partial differential equation the value of benefits should follow, which in turn can be used to determine the fair premium.
出处
《东华大学学报（自然科学版）》
CAS
CSCD
北大核心
2001年第3期1-5,共5页
Journal of Donghua University(Natural Science)
基金
国家自然科学基金(项目编号:19970130)资助
