MR資本配置模型在非壽險公司定價中的運用.pdf

1、湖南大學(xué)碩士學(xué)位論文MR資本配置模型在非壽險公司定價中的運用姓名：李軍申請學(xué)位級別：碩士專業(yè)：金融學(xué)指導(dǎo)教師：盧仿先20050411MR資本配置模型在非壽險公司定價中的運用AbstractWiththejoiningofWTOagreement，theinternationalizedprocessoftheinsuranceofourcountrymustbeacceleratedChinaInsuranceRegulatoryCom

2、missionisrelaxingtheregulationsaboutfundapplicationrespectoftheinsuranceprogressively，thefundoftheinsurancewillbeusedintheinvestmentofvariouskindsofformsmoreandmoreAtthesanletimeOurcountryhasalreadyunlockedtheinsurancepr

3、emiumrateofmotorvehicle，thepricedecontrollingtheinsurancegoodsinanallroundwaynationwidewillcometruesoonerorlaterSo，thesupplydemandrelationshipbetweenfinancialmarketandinsurancemarketwillbecome’theimportantfactorofinsuran

4、cepricingHoweverthetraditionalpricingmethodhasnotconsideredthesefactors，SOitisnecessarytoresearchthenewpricingmethodofinsurancecompanyunderthenewconditionsChapteroneofthistexthasrecommendedtheforeigninsurancetoapplyfmanc

5、ialeconomytotheproductspricingmethodofinsurancecompanybutthesemethodshavenotexplmnedhowtodeterminethefairpremiumofthemultiple—lineinsurancecompanyInordertosolvemanybusinesslineinsurancecompanypricingproblem，chaptertwoint

6、roduceanveryimportantmodelininsurancecompanycapitalallocationfieldMRcapitalallocationmodel，throughderivingcapitalallocationformulaandsimulationanalysisindicateMRmodelallocatemultiple—lineinsurancecompanycapitalscientific

7、allyInordertoapplyMRmodeltononlifeinsurancepricingchapterthreewillextendMRmodeltointroducelossBandlayerBSincethepremiseofMRmodelisacertainmarketpriceofloss，thechapterfourwillusetherisk—neutralprobabilitytransformationtec

8、hniquetogetthemarketvalueoflossUnderlognormaldistribution，wewilluselocationparametershiftandproportionalPHtransformationtoilluminatethetechniqueThefinalchaptercombinesthepriorsections’resulttodeduceoutthefairpremiumformu