基于期权理论的寿险费率定价研究

A Study on Life Insurance Premium Pricing Based on the Option Theory

从个人效用函数出发,应用期权定价理论,提出了一种更加符合市场经济现实的寿险费率的厘定方法。利用期权中的新型期权来描述纯保险的合约,并在Arrow-Debreu经济结构下,求出了纯保险费率的通用解,它可以完全解释现行保费的性质。该寿险费率的通用解不但包含了原保险理论精算的观点,也考虑了经济原理,在实际经济意义上,比传统的仅仅基于生命表的保费定价方法更具有说服力。并且证明了在期权定价基础上的寿险费率计算方法比传统的保费定价方法更为简单。

A new pricing method of life insurance premium more adaptive to market economy is put forward to in term of option pricing theory from aspect of individual utility function.This approach is to describe the pure insurance contract in term of new option for the general solution to pure insurance premium in Arrow-Debreu’s economics structure,which can totally identify the characteristics of current insurance premium.This general solution to pricing of insurance premium concerns theory of existing accurate calculation for insurance premium but also takes the economic principles into consideration.Technically,this solution is more persuasive than other pricing method based on life table,and it is also easier than conventional pricing method based on option theory.