摘要
本文利用倒向随机微分方程的理论,在考虑保险公司提计准备金的背景下研究投资对于保险价格的影响,建立了再保险投资定价的正倒向微分随机方程的模型,并给出了保险价格的显性解.为保险人进行保险价格调整提供了依据,增强了保险人的竞争力,有很大的现实意义.最后通过算例进行了可行性分析.
This paper research on the effect of investment with reserve for insurance price by theory of backward stochastic differential equation. Modeling the investment with backward stochastic differential equation and the resultts got. It provides some basis and more practical significance for insurer to adjust the price. At last, the feasibility is analyzed by the example.
出处
《天津理工大学学报》
2006年第5期56-58,共3页
Journal of Tianjin University of Technology
基金
南开大学-天津大学刘徽应用数学中心资助(2001T08)
关键词
正倒向微分随机方程
伊藤公式
保险投资
准备金
再保险
backward stochastic differential equation
Ito formula
insurance investment
reserve
reinsurance
