基于资产定价理论的保险定价方法研究

发布时间：2018-05-18 00:32

本文选题：资本资产定价模型 + 期权定价模型　；参考：《中南大学》2013年硕士论文

【摘要】：摘要：资本资产定价模型(CAPM)和期权定价模型(OPM)可用于保险公平定价的研究。这两个模型相比较传统的保费制定原理,考虑得更加的详细,计算更加有理有据、更加精准。本文第一章为绪论,介绍了CAPM和OPM用于保险定价研究中的国内外研究现状。第二章介绍了CAPM和OPM的基本内容、相关理论等,论证了CAPM和OPM用于保险定价的合理性。然后分别使用B-S期权定价模型和CAPM对保险产品进行定价,同时,为了使得这两个模型的应用更加符合现实情况,对CAPM和OPM的应用条件进行了修改。第三章在使用OPM对保险产品进行定价时,增加了税收这个条件,结果发现：公平保费会因为加上了税收的现值而上升。第四章在使用CAPM时,增加了保险公司存在违约风险的条件,与未考虑存在违约风险时的保费相比,前者得到的公平保费更低。最后将CAPM和OPM结合,将它们同时用于公平保费的定价,并对模型进一步扩展,增加了再保险费用和投资比例的条件,并且讨论了交易费用分别为固定值和变量的情形,结果发现：再保险费用越少、交易费用越少,则所需的保费越低。最后也讨论了税收分别为固定值和变量的情形,得到了存在税负条件下的公平保费与税收水平有关。
[Abstract]:Abstract: the capital asset pricing model (CAPMM) and the option pricing model (OPMM) can be used in the research of insurance fair pricing. The two models are more detailed, more reasonable and more accurate than the traditional premium principle. The first chapter is the introduction, which introduces the research status of CAPM and OPM used in insurance pricing research at home and abroad. The second chapter introduces the basic content and relevant theory of CAPM and OPM, and proves the rationality of CAPM and OPM in insurance pricing. Then B-S option pricing model and CAPM are used to price insurance products respectively. In order to make the application of these two models more in line with the actual situation, the application conditions of CAPM and OPM are modified. The third chapter increases the condition of tax when using OPM to price insurance products. The result shows that the fair premium will rise by adding the present value of tax. In chapter 4, the condition of insurance company's default risk is increased when CAPM is used. Compared with the premium without default risk, the fair premium obtained by the former is lower than that without considering the default risk. Finally, we combine CAPM and OPM, and apply them to the pricing of fair premium, and further extend the model to increase the condition of reinsurance cost and investment ratio, and discuss the case where transaction cost is fixed value and variable, respectively. The results show that the lower the reinsurance cost and the less the transaction cost, the lower the premium required. Finally, we discuss the case that the tax revenue is fixed value and variable, and get that the fair premium under the condition of tax burden is related to the level of tax revenue.
【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F840.3;F224

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