基于混合分数布朗运动的银行存款再保险定价研究

Bank Deposits Reinsurance Pricing Based on the Mixed Fractional Brownian Motion

在标的资产服从混合分数布朗运动的前提下,给出了溢额再保险的定价公式,并且进行了实证分析,结果表明:再保险的费率一般都是低于原保险费率,且费率与波动率也呈正的相关性。因此,所建立的存款保险定价模型是比较符合实际情况。

On the premise of the underlying asset following a mixed fractional Brown motion, the paper gives the pricing formula of surplus reinsurance, and makes an empirical analysis. The results show that the reinsurance rates are generally lower than those of the original insurance premium, and prenlium and volatility are positive correlation. Therefore, the deposit insurance pricing model is compared with the actual situation.