倒向隨機微分方程在保險業(yè)定價問題中的應用.pdf

1、北方工業(yè)大學碩士學位論文倒向隨機微分方程在保險業(yè)定價問題中的應用姓名：陳佳申請學位級別：碩士專業(yè)：應用數(shù)學指導教師：吳潤衡20070515北方工業(yè)大學碩士學位論文AppficationofbackwardstochasticdifferentiMequationininsurancepricingAbstractBackwardstochasticdifferentialequation(BSDE)缸developedonlylesst

2、hantwodecadesThedevelopmentofBSDEisslowerthanForwardstochasticdifferentialequation，butllloreandmoreresearchersrealizetheimportanceofBSDEThesignificationofBSDEisthatwehaveknowntheresult(generallytheresultisuncertain)thena

3、ccordingtothisresultweshouldcalculatecurrentdecisionmakingBecallseweshouldcounttheinsurancepriceaccordingtotheuncertainresultofinsurancethatwehaveknownSOinsurancepricingconformtothesignificationofBSDEAsthekernelofinsuran

4、cetheinsurancepricingbecameafocuslhatmorepeopleregardEheeanseofallaboveauthorpricestheinsurancebymhtgBSDEinthisthesis11地thesishasfoliow缸gcontents：自嘶，basedoninvestmentauthorgivestheinsurancepricingmodelandreinsuranceprici

5、ngmodel(Reinsurancepricingmodelconsistsofproportionreinsurancepricingmodelandnonproportionreinsurancepridngmoder)ThenthepricingformulaearedoneThirmythedemonstrationanalysisthatcontraststhemethodinpracticeandthemethodinth

6、isthesisisgivenFinallyauthorexplainsthemeaningsofpricingformulaeandtheoutcomesofdemonstrationandtablessomeproposalsaboutinsuranceindustryofourcountryThethesishasfollowinginnovations：authormodifiestheerrorsandsuppliesthed

7、eficienciesofsomeresearchersindudingenactmentofparametersthederivationprocessesoftheformulaeAuthoralsoanalyzestheconditionsthatinsurancepricelowerthanthepriceinthepracticeThanauthorincreasetheillustrativedemonstrationana