摘要
从系统的观点出发,把保险公司的赔付情况与投资收益相结合,对比例再保险和超额损失再保险,建立了在投资背景下它们应满足的线性正倒向随机微分方程.根据一类特殊线性倒向随机微分方程的显式解,给出了基于投资的再保险定价公式,为保险公司厘订再保险保费提供了新的方法.
Starting from systematic view, the paper integrates compensations that insuers will be up against with its return on investment and establishes linear forwardbackward stochastic differential equations for proportional and excess-of-loss reinsurance premiums. The reinsurance pricing formulas are obtained on the basis of the explicit solution of a special class of their linear backward stochastic differential equations. The results have a directly helpful role for insuers to make reinsurance premiums.
出处
《高校应用数学学报（A辑）》
CSCD
北大核心
2006年第1期9-14,共6页
Applied Mathematics A Journal of Chinese Universities(Ser.A)
基金
国家自然科学基金(10171051)
关键词
正倒向随机微分方程
伊藤微分公式
比例再保险
超额损失再保险
forward-backward stochastic differential equation
Ito＇s differentialformula
proportional reinsurance
excess-of-loss reinsurance
