基于混合分数布朗运动的银行存款再保险定价研究

doi:10.12005/orms.2018.0046

运筹与管理 ›› 2018, Vol. 27 ›› Issue (2): 147-151.DOI: 10.12005/orms.2018.0046

基于混合分数布朗运动的银行存款再保险定价研究

赵明清, 岳金枝

山东科技大学数学与系统科学学院,山东青岛 266590

收稿日期:2017-01-09 出版日期:2018-02-25
作者简介:赵明清(1963-),男,山东临朐人,教授,博士,研究方向:保险精算;岳金枝(1990-),女,山东寿光人,硕士,研究方向:统计与保险精算。
基金资助:
国家自然科学基金青年基金项目(61502280);山东省研究生教育创新计划资助项目(SDYY14086);山东科技大学研究生科技创新基金项目(YC150337)

Bank Deposits Reinsurance Pricing Based on the Mixed Fractional Brownian Motion

ZHAO Ming-qing, YUE Jin-zhi

College of Mathematics and System Science, University of Science and Technology, Qingdao 266590, China

Received:2017-01-09 Online:2018-02-25

摘要/Abstract

摘要： 在标的资产服从混合分数布朗运动的前提下,给出了溢额再保险的定价公式,并且进行了实证分析,结果表明:再保险的费率一般都是低于原保险费率,且费率与波动率也呈正的相关性。因此,所建立的存款保险定价模型是比较符合实际情况。

关键词: 存款保险, 溢额再保险, 混合分数布朗运动

Abstract: On the premise of the underlying asset following a mixed fractional Brown motion, the paper gives the pricing formula of surplus reinsurance, and makes an empirical analysis. The results show that the reinsurance rates are generally lower than those of the original insurance premium, and premium and volatility are positive correlation. Therefore, the deposit insurance pricing model is compared with the actual situation.

Key words: deposit insurance, excessive forehead reinsurance, mixed fractional brownian movement

中图分类号:

F840

赵明清, 岳金枝. 基于混合分数布朗运动的银行存款再保险定价研究[J]. 运筹与管理, 2018, 27(2): 147-151.

ZHAO Ming-qing, YUE Jin-zhi. Bank Deposits Reinsurance Pricing Based on the Mixed Fractional Brownian Motion[J]. Operations Research and Management Science, 2018, 27(2): 147-151.

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基于混合分数布朗运动的银行存款再保险定价研究

Bank Deposits Reinsurance Pricing Based on the Mixed Fractional Brownian Motion

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