汽车保险损失率期权定价模型及实证研究

The Pricing Modal of Motor Insurance Loss Rate Options and Empirical Study

随着汽车保险行业的迅速发展,如何通过证券衍生产品来转嫁汽车保险越发引起人们的重视。本文在Taehan Bae等人的研究基础上给出了当索赔额分布服从指数分布、Γ-分布、混合指数分布、对数正态分布时的汽车保险损失率期权的定价公式,并以太平洋保险公司的有关索赔数据作为样本,利用Γ-分布下的汽车保险损失率期权定价公式对其进行实证研究,得到汽车保险损失率期权价格的近似值,具有很好的理论意义和现实意义。

With the developing of motor insurance market, it is important that how to transfer the loss rate risks of motor insurance to the capital market by securities. Based on the research of Taehan Bae etc., we get the pricing modals of motor insurance loss rate when the claim follows an exponential distribution, gamma distribution, mixed exponential distribution or logarithmic normal distribution. As a sample of claim data from Pacific Insurance Agency, using the pricing model when the claim follows a gamma distribution, we get the approximate price, which has good theoretical and practical significance.