基于投资的我国再保险预测性定价新探讨

The Predictive Pricing Research of Reinsurance of China Based on Investment

从系统的观点出发,把保险公司的赔付情况与投资收益结合,对非比例再保险建立在一类在较弱的市场假设条件下进行投资的线性正倒向随机微分方程的改进模型.根据一类特殊线性倒向随机微分方程的显式解,加入时间序列预测方法,给出了基于投资的非比例再保险定价公式,为保险公司厘定非比例再保险的保费提供新的可行性方法.

Combining the payment of insurance companies and investment income, this paper builds an improved model on the linear forward-backward stochastic differential equations in the context of investment with a class of weak conditions based on non-proportional reinsurance. According to the explicit solution of a special class of linear backward stochastic differ- ential equations, and taking into account time series forecasting methods, this paper gives the insurance pricing formula based on investment and provides a new feasible method of the non-proportional reinsurance pricing for insurance companies.