人壽保險費率的分析－從選擇權理論觀點

The Analysis of a Life Insurance Premium-Basis on the Option's Theory

蔡明憲(Min-Shann Taisy) ； 徐守德(David Shyu) ； 廖四郎(Szu-Lang Liao)

《風險管理學報》 2卷1期 (2000/05) Pp. 1-24

https://doi.org/10.30003/JRM.200005.0001

摘要

現行保費的計算皆從精算的基礎出發，甚少研究論及個人效用函數的觀點。本文應用選擇權定價理論，從個人效用函數出發，在保險精算的基礎上，將保險理論和財務理論相結合。在Arrow-Debreu的經濟體系下，以選擇權中的新奇選擇權來描述純保險的合約並決定出純保險費率的通用解。文中以該解為基礎，說明保險純保費之比較靜態分析，該解的存在使保險理論的比較靜態分析更有數理上的說服力。

關鍵字

選擇權 ； 壽險費率 ； 效用函數

並列摘要

Currently, the life insurance premium is pricing based on the actuarial concept.Only a few studies investigate this issue from the viewpoint of individual utility function. This paper studies the life insurance from the pricing theory of an exotic option. The advantage is that we can combine the economic theory into the ordinary life insurance the theory.Based on the option' s pricing theory, this paper derives a general solution of the life insurance under the Arrow-Debreu economic structure.Besides,the paper uses this solution to conduct comparative analysis of life insurance premium.It provides theoretical foundation for the comparative analysis in life insurance theory.

並列關鍵字

Option ； Life Insurance Premium ； Utility Function.