保险合同费率的计算:从期权的角度分析

Property-casualty insurance pricing: An option approach

应用期权方法计算保险合同的费率,与传统的精算方法相比,从供需的均衡出发,考虑了保险市场、资本市场以及政府税收等因素,对保险合同应用金融理论进行定价.利用我国保险公司的实际数据进行实证分析,结果表明,我国财产保险公司的费率明显高于公平费率,具有较大的利润.最后总结了应用期权定价模型对于保险合同费率进行计算所存在的限制与不足.

An option pricing model is used to derive the ＂fair＂ premium rate for the property-casualty insurance. Because the model considers the insurance contract from the equilibrium of demand and supply for insurance, it overcomes the main shortcoming of traditional actuarial pricing determines insurance price only from the supplier. The financial claims of insurance firms, policyholders, and the government are modeled into a European option which is written on the income generated by the insurer＇s asset portfolio. The author also research on the premium rate of Chinese insurance firms with option pricing model. The empirical results shows that the actual premiums are high than fair premium. The limits and problems of the model are summarized at the end of this paper.