摘要
本文撇开现有保险定价模型对风险规避型效用函数假设的依赖,结合行为金融学的思想与方法,依据现实中噪声交易者的特点与分布,从成本-收益分析的角度构建了基于噪声交易的保险定价模型,并运用我国4家主要财险上市上司相关的实际数据验证了保险交易中投保人的适应性预期特征。在此基础上,结合非典疫情、汶川地震期间我国保险市场交易的相关实际数据,采用事件分析方法对保险噪声交易定价模型进行了验证,分析结果显示:基于噪声交易的保险学原理不仅具有更强的理论包容性,而且克服了从理论到实践的诸多障碍;噪声交易的保险定价模型是一种更贴近现实,且兼具操作性的理论模型。
This paper constructed the insurance pricing model on noise trading from the view of cost-benefit by dis- regarding the dependence on the existed pricing model for risk-averse utility function hypothesis, combining with the ideas and methods of behavioral finance, and taking into consideration the characteristics and distribution of noise trader in reality. It tested the adaptive expectation features of insurance applicant in insurance transaction with the relevant data from four principal listed property insurance companies in China, and on this basis, combined with the actual insurance transaction data during the outbreak of SARS and Wenchuan earthquake in China and the events a- nalysis methods to verify the pricing model of insurance noise trading, which showed that the insurance theory on noise trading not only possessed stronger theoretical inclusiveness, but also overcame many obstacles from theory to practice. The insurance pricing model of noise trading is a more realistic and operational theoretical model.
出处
《保险研究》
CSSCI
北大核心
2017年第9期43-52,共10页
Insurance Studies
关键词
预期损失
噪声交易
预期错误分布
保险定价模型
expected loss
noise trading
expected error distribution
insurance pricing model
作者简介
李萌，天津财经大学统计学专业博士研究生；;李姝霏，天津财经大学统计学专业硕士研究生。
