期权模型在财产保险偿付能力研究中的应用

Option Model Applied in Property - liability Insurance Solvency

期权模型已广泛应用于金融保险业。本文将期权定价模型运用于财产保险的偿付能力分析。在保险被视为公司的负债且保险的需求函数与偿付能力不足风险成反比的假设下,可通过选择偿付能力不足风险的水平来实现保险人的利润最大化。

Option model has been applied in banking and insurance industry widely. This article will put option model use into the solvency analysis of property - liability insurance. Under the assumption that insurance is regarded as the debt of insurer and the demand function of insurance changes with the insolvency risk adversely, through deciding the level of insolvency risk, this article describes the optimization of the profit of insurers.