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基于倒向随机微分方程的非寿险定价实证研究——以广东财产险为例 被引量:1

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摘要 文章利用保费收取与赔付间的时滞,考虑投资风险收益和赔付的分布建立倒向随机微分方程,以给出更具竞争力的非寿险定价模型。一方面利用近年来各风险资产的收益与风险数据,计算出最优投资组合;另一方面对赔付率数据进行时间序列分析,利用广东省财产险近三年的保费收入与赔付数据,讨论赔付率随月份变化所呈现的规律性。
作者 孙艳 牛金阳
出处 《金融经济(下半月)》 2014年第3期130-132,共3页
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