基于PORT及王变换下汽车保险期权定价研究

Study on the Pricing of Car Insurance Options Based on PORT and Wang Transform

笔者从汽车保险风险转移方式出发,利用随机门限值方法(即PORT方法),以及王变换方法,给出了一年期汽车保险索赔额期权定价公式。并以太平洋保险公司的有关索赔数据作为样本,对其进行实证研究,得到汽车保险索赔额期权价格,具有很好的理论意义和现实意义。

We consider a new way to transfer the car insurance risks using the PORT method and Wang transform,and finally give the pricing formula of one year car insurance claims options.As a sample of claim data from Pacific Insurance Agency,using the pricing model,we get the approximate price of car insurance claims options,which has good theoretical and practical significance.