最优跨期风险分配在保险定价中的应用

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摘要翻译：
本文给出了多周期金融保险产品定价的一般方法。它是效用无差异定价和最优跨期风险分配的结合。利用一阶条件给出了最优跨期风险分配的刻画。将这一结果应用于指数效用函数，我们得到了一种新的多期保险合同保费计算方法。该方法简单，易于数值实现。数值计算结果与传统方法确定的风险荷载水平吻合较好。研究结果还提出了保险定价的隐含效用方法。
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英文标题：
《Optimal intertemporal risk allocation applied to insurance pricing》
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作者：
Kei Fukuda, Akihiko Inoue and Yumiharu Nakano
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最新提交年份：
2007
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  We present a general approach to the pricing of products in finance and insurance in the multi-period setting. It is a combination of the utility indifference pricing and optimal intertemporal risk allocation. We give a characterization of the optimal intertemporal risk allocation by a first order condition. Applying this result to the exponential utility function, we obtain an essentially new type of premium calculation method for a popular type of multi-period insurance contract. This method is simple and can be easily implemented numerically. We see that the results of numerical calculations are well coincident with the risk loading level determined by traditional practices. The results also suggest a possible implied utility approach to insurance pricing.
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PDF链接：
https://arxiv.org/pdf/0711.1143

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关键词：Applications Quantitative Differential Indifference Calculations 计算结果 给出 method 效用函数 risk