﻿ 基于几何分数布朗运动的溢额再保险存款保险定价 Deposit Insurance Pricing of Excess Reinsurance Based on Geometric Fractional Brownian Motion

Vol.04 No.02(2015), Article ID:15174,5 pages
10.12677/AAM.2015.42012

Deposit Insurance Pricing of Excess Reinsurance Based on Geometric Fractional Brownian Motion

Haimei Liu, Mingqing Zhao

College of Mathematics and Systems Science, Shandong University of Science and Technology, Qingdao Shandong

Email: 18254230971@163.com

Received: Apr. 14th, 2015; accepted: Apr. 30th, 2015; published: May 5th, 2015

ABSTRACT

Under the assumption of bank assets subject to geometric fractional Brownian motion, the deposit insurance pricing model of excess reinsurance is established. And the deposit insurance pricing formula is derived with actuarial methods. Finally, China’s four major state-owned banks’ empirical analysis shows that the deposit insurance rates and the volatility of bank assets showed some positive correlation, and the reinsurance premium rates were lower than the original. Therefore, the established deposit insurance pricing model of excess reinsurance based on geometric fractional Brownian motion is better to reflect reality.

Keywords:Deposit Insurance Pricing, Geometric Fractional Brownian Motion, Excess Reinsurance

Email: 18254230971@163.com

1. 引言

2. 溢额再保险的存款保险定价模型

3. 实证研究

Table 1. Deposit insurance premium rate of excess reinsurance based on geometric fractional Brownian motion

4. 结论

Deposit Insurance Pricing of Excess Reinsurance Based on Geometric Fractional Brownian Motion. 应用数学进展,02,90-95. doi: 10.12677/AAM.2015.42012

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