摘要
绝对免赔额保险指事先由双方约定,被保险人自行承担部分损失的一种保险形式.本文利用期望-方差效用理论,讨论了单时段市场风险资产的绝对免赔额保险中最优免赔额的存在性问题,并给出了最优免赔额、最优风险资产投资额的定价表达式.
The deductible insurance is a kind of insurance that a mount of loss is borne by people who is sured.This paper discuss the optimal investment and insurance in such a one-period market and get the valuation of the optimal assets investment amount and the optimal amount of dismiss compensate.
关键词
期望-方差理论
风险中性
无套利
免赔额保险
theory of mean-varance utility
risk-neutral
non-arbitrary
deductible insurance
