基于供需均衡的保险精算与期权定价相关性.pdfVIP

东北大学学报(自然科学版) 第31 卷第7期 Vo1. 31 ,No. 7 2010 年 7 月 Journal of Northeastem University( Natural Science) Jul. 2010 基于供需均衡的保险精算与期权定价相关性 郑红，郭亚军，曾华 (东北大学工商管理学院，辽宁沈阳 lH阀的 摘 要:在综述期权定价与保险精算相关研究的基础L运用供需均衡原理取代金融市场的无套利均衡 原理，推导出纯保费精算定价公式;进而利用保险精算方法，在损失分布服从对数正态分布假设下，在连续时 间状态下推导出经典的 Black-Scholes 期权定价模型;最后将保险精算与期权定价统一于一般经济学研究框 架，通过规范的经济分析证明本文得到的纯保费精算定价就是帕累托最优纯保费，也就是买人看涨期权的价 格.从理论上扫清了期权定价模型在保险领域的应用障碍，为保险精算与期权定价的融合和统一奠定了理论 基础. 关键词:供需均衡原理;保险精算;期权定价;Black-Scholes 模型 中固分类号: F 840 文献标志码:A 文章编号: 1ω5-3026( 2010 )07-1046-04 Correlation Between Actuarial Approach and Option Pricing ßased 00 Supply-Demand Equilibrium ZHENG Hong , GUO Ya-jun , ZENG Hua (School of Busine强Administration ， North幽tem University , Shenyang 1l0004 , China. Correspondent: ZHENG E如毡，巴mail: hzheng@mai l. neu.edu.cn) Abstract: Based on a review of the studies on the ∞rrelation between option pricing and actuarial l appr侃出， the law of supply-demand 叫uilibrium is applied to the deduction of actuarial pricing 叫uation of pure premium instead of the no-arbitrage equilibrium the。可 about {inancial market. Then , assuming that the loss ∞mplies with the logarithmic normal distribution , the classic Black- Scholes option pricing model in the ∞ntinuous-time state is deduced in actuarial way. As a r，白ult ， l the actuarial appr侃ch and option pricing are unified into the general e∞nomic research framework which proves e∞nomically that the actuarial pricing of