| 宋立新,朱强.非同质风险组合最优定价[J].,2012,(6):928-931 |
| 非同质风险组合最优定价 |
| Optimal pricing for heterogeneous portfolio |
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| DOI：10.7511/dllgxb201206025 |
| 中文关键词: 非同质风险组合 距离函数 非线性规划方法 |
| 英文关键词: heterogeneous portfolio distance function non-linear programming formulation |
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| 中文摘要: |
| 对于一个包含非同质风险的保单组合,制定保费时,不仅要考虑到保险公司自身面临的风险,还要考虑到投保人缴纳的保费的公平性,可利用风险和保费之间距离的函数来体现这种公平性．应用非线性优化方法证明了在一定风险水平下,使距离函数负部达到最小时最优保费解的存在性;并通过用二分法和计算机软件编程,求出这个最优解的近似值．最后数值实例验证了结果的正确性． |
| 英文摘要: |
| In view of a portfolio containing heterogeneous risks, when setting premium, the insurance company should consider their own risks. On the other hand, the premium that the insured pays has to be fair. This fairness is measured by the distance between the risk and the premium paid. A non-linear optimizing method is applied to prove the existence of optimal premium to make the negative part of the distance function minimized for a given risk level. And the approximation of the optimal solution is obtained by dichotomy and computer programming. Finally, some numerical examples are given to prove the correctness of the results. |
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