基于供需均衡的保险精算与期权定价相关性

Correlation Between Actuarial Approach and Option Pricing Based on Supply-Demand Equilibrium

在综述期权定价与保险精算相关研究的基础上,运用供需均衡原理取代金融市场的无套利均衡原理,推导出纯保费精算定价公式;进而利用保险精算方法,在损失分布服从对数正态分布假设下,在连续时间状态下推导出经典的Black-Scholes期权定价模型;最后将保险精算与期权定价统一于一般经济学研究框架,通过规范的经济分析证明本文得到的纯保费精算定价就是帕累托最优纯保费,也就是买入看涨期权的价格.从理论上扫清了期权定价模型在保险领域的应用障碍,为保险精算与期权定价的融合和统一奠定了理论基础.

Based on a review of the studies on the correlation between option pricing and actuarial approach, the law of supply-demand equilibrium is applied to the deduction of actuarial pricing equation of pure premium instead of the no-arbitrage equilibrium theory about financial market. Then, assuming that the loss complies with the logarithmic normal distribution, the classic Black- Scholes option pricing model in the continuous-time state is deduced in actuarial way. As a result, the actuarial approach and option pricing are unified into the general economic research framework which proves economically that the actuarial pricing of pure premium we gave is just Pareto optimal pure premium, i.e. , the price of call option. In this way we can get rid of the hindrance to the applications of option pricing model to the insurance field, thus laying theoretical foundation on which the integration and unification of actuarial approach with option pricing are available.