熵与大偏差及保险定价.pdfVIP

辽宁工程技术大学学报(自然科学版) 第 28 卷第 2 期 2009 年4 月 Vo 1.28 No.2 Joumal of Liaoning Technical University (Natural Science ) Apr. 2009 文章编号: 1 ∞8-0562(2侃19)02-0334-03 恼与大偏差及保险定价 丰雪12，李兴斯3 ，徐厚生4 (1.大连理工大学应用数学系，辽宁大连 116024; 2.沈阳农业大学理学院，辽宁沈阳 110161; 3.大连理工大学 工业装备结构分析国家重点实验室，辽宁大连 116024; 4.沈阳建筑大学理学院，辽宁沈阳 110168) 摘 要z 为了更加合理的解决保险定价问题，引入信息论中的娟和概率理论中的大偏差，对)般保费计算方法进 行了修正。结果表明g 最大娟原理只考虑了具有最大娟的概率分布，而在大偏差框架中，考虑了所有的概率分布， 此时的情描绘了随着实验次数的增加，概率分布的收敛情况:若只知道概率分布的不完全信息，最小化叉倚，得 到最小叉炳优化模型，模型的解可调整保费。调整后的保费计算方法既建立在经验概率分布基础上，又不完全依 赖经验概率分布，具有更好的实用性。 关键词2 娟:最大娟:最小叉煽:大偏差:保险定价 中图分类号: 029 文献标识码:A Entropy, large deviation and insurance pricing FENG Xue 1,2. LI Xingsi3 • XU Housheng4 (l.Department ofApplied Mathematics, Dalian University ofTechnology, Dalian 116024, China; 2.CoUege of Sciences, Shenyang Agricultural University, Shenyang 110161 , China; 3.State Key Laboratory of Structure Analysis of Industry Equipment, Dalian University ofTechnology, Dalian 116024, China; 4.College of Sciences, Shenyang Jianzhu University, Shenyang 110168, China) Abstract: In order to make insurance pricing more reasonable , the entropy in information 由e。可 and the large deviation in probability theory are introduced to adjust the premium principle.ηle results show that the maximum entropy principle only considers the probability distribution with the maximum entropy. However, all distributions are taken into ac∞unt in large deviation field. The entropy describes the convergence of probability distribution when the experiment numbers are increased. Under the incomplete information of the probability distribution, the minimum cross-entropy optimization model is obtained. The solution of