带跳扩散的“金诚利”投资连结型保险模型

"Jinchengli"Equity Linked Policy Model with Jump Diffusion

摘要:

在风险中性下,建立一类投资连结型保险的数学模型,利用基本解显式地给出帐户资产不带跳情形下的保单价格解析表达式;对于带跳情形,利用基本解的性质对带跳情形下的边界条件进行处理.同时运用算子分裂迭代的方法,得到帐户资产带跳情形下的保单的数值结果.

Abstract:

In the risk-neutral environment,a mathematical model is set up for one kind of equity-linked policy with jump diffusion.With the fundamental solution to the differential equation,the explicit formula for the equity-linked policy without jump diffusion is obtained.On the other hand,the boundary of jump diffusion is addressed with the character of fundamental solution.With the operator split iteration method,the numerical conclusion under the jump-diffusion situation is achieved.