变利率下的保险商偿债率模型研究

STUDY ON THE SOLVENCY RATIO MODEL UNDER FLUCTUATED INTEREST RATE

在有金融困境成本的情况下,建立了带有变利率的保险商偿债率(SR)模型.采用Girsanov定理进行测度变换,利用变利率下的Black-Scholes期权定价公式,计算出了保险商终期收益的现值,并且讨论了保险商关于金融困境成本、金融困境障碍等参数的风险管理敏感性.

This paper constructs the insurer＇ s solvency ratio model under fluctuated interest rate in the presence of finanial distress costs. By Girsanov＇ s theorem and the Black-Scholes pricing formula under fluetuated interest rate, the maximization of shareholders＇ value is discussed, and the insurer＇ s risk management sensitivities with respeet to parameters of financial distress cost,financial distress barrier are investigated.