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随着汽车保险行业的迅速发展,如何通过证券衍生产品来转嫁汽车保险越发引起人们的重视。本文在Taehan Bae等人的研究基础上给出了当索赔额分布服从指数分布、Γ-分布、混合指数分布、对数正态分布时的汽车保险损失率期权的定价公式,并以太平洋保险公司的有关索赔数据作为样本,利用Γ-分布下的汽车保险损失率期权定价公式对其进行实证研究,得到汽车保险损失率期权价格的近似值,具有很好的理论意义和现实意义。
With the rapid development of auto insurance industry, how to transfer auto insurance through securities derivatives has drawn more and more attention. Based on the research of Taehan Bae et al., This paper gives the pricing formula of automobile insurance loss ratio option when the claim amount distribution obeys the exponential distribution, Γ-distribution, mixed exponential distribution and lognormal distribution. Of the claim data as a sample, using the Γ-distribution under the automobile insurance loss ratio pricing formula empirical study of them, get the approximate value of automobile insurance loss rate of the price, has very good theoretical and practical significance.