基于Copula函数的风险度量和保费定价模式

J4 ›› 2010, Vol. 48 ›› Issue (02): 169-176.

基于Copula函数的风险度量和保费定价模式

王纯杰^1,2, 宋立新³

1. 吉林大学数学学院, 长春 130012|2. 长春工业大学基础科学学院, 长春 130012;3. 大连理工大学数学科学学院, 辽宁大连 116024

收稿日期:2009-06-23 出版日期:2010-03-26 发布日期:2010-03-22
通讯作者: 宋立新 E-mail:lxsong@dlut.edu.cn

Copula Based Certainty Equivalent Risk Measureand Insurance Premium Principles

WANG Chunjie^1,2, SONG Lixin³

1. College of Mathematics, Jilin University, Changchun 130012, China;2. Department of Basic Science, Changchun University of Technology, Changchun 130012, China;3. School of Mathematical Sciences, Dalian Institute of Technology, Dalian 116024, Liaoning Province, China

Received:2009-06-23 Online:2010-03-26 Published:2010-03-22
Contact: SONG Lixin E-mail:lxsong@dlut.edu.cn

摘要/Abstract

摘要：

在修正确定等价风险度量方式的基础上, 应用Copula连接函数, 将组合投资各风险之间的相关性考虑在保费定价和风险度量中, 提出一种基于Copula函数以及单个风险是混合分布时基于Copula函数的风险度量和保费定价模式, 并证明了其满足的性质.

关键词: 风险度量；保费定价模式；修正确定等价；混合分布； Copula函数

Abstract:

On the basis of using Copula function to insurance premium principles and risk measure theory with considering dependence of portfolio investment risks based on modified certainty equivalent risk measure, a Copula based, particularly when detailed mixed distributions are given in individual risks, modified premium principles and certainty equivalent risk measure approach was proposed. Properties of the proposed approach were proved, and the effection was demonstrated by simulated data.

Key words: risk measure, insurance premium principles, modified certainty equivalent, mixed distribution, Copula function

中图分类号:

O212.1

王纯杰, 宋立新. 基于Copula函数的风险度量和保费定价模式[J]. J4, 2010, 48(02): 169-176.

WANG Chun-Jie, SONG Li-Xin. Copula Based Certainty Equivalent Risk Measureand Insurance Premium Principles[J]. J4, 2010, 48(02): 169-176.

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