寿险模型在无套利框架下的定价分析

本文主要讨论无套利框架下的寿险模型定价问题。即从无套利的角度对寿险产品进行定价分析,寿险投资也被纳入到模型之中,费率厘定的思路将从“投保获利”转变为“运营获利”。本文参照前人的无套利寿险定价模型研究成果,推广了无套利寿险定价模型中的边界条件,并在模型改进的基础上,将无套利寿险定价思想与资产份额定价方法相结合,通过测算分析,计算出合理的保费及投资策略。

The price analysis of Life insurance under non-arbitrage framework

This article focuses on pricing problem of Life Insurance Model under no-arbitrage framework . That analysis the pricing of life insurance products from the point view of no-arbitrage, and life insurance investment has also been incorporated into the model , the thought of rates determination will change from "insurance profit " to "operating profit." This article references to the research results of predecessors on no-arbitrage pricing of life Insurance, extensing the boundary conditions of the no-arbitrage pricing of life Insurance, and it bases on the improvements on the model ,combining the idea of no-arbitrage pricing of life Insurance with asset share pricing methods , calculate reasonable premium and investment strategies by measurement and analysis.