The Pricing Model Of Car Insurance Options And Empirical Research

With the rapid development of society and economics, people speed up the pace of life and work. Car has become an integral part of a rapidly developing society. Like humans, total amount of cars around the world also quickly soar. According to the statistics and forecasts in 2015, 10.4 billion cars will be used in the world, which is 1.5 times the number of human factor. Increase in the number of cars, driving the development of national economies, but also causes many problems. For example, motor vehicle traffic accidents not only cause damage to the car, but also bring human suffering and casualties, so the car insurance company in this environment was born. But as the car life is different from humans, and doesn't have a fixed table of life, its own possible problems is also varied, car insurance companies often face the risk of debt and failure. For example, in a serious traffic accident on the highway, many vehicle rears in a row, including many advanced vehicles, so that, for the insurance companies, it was a big shock. How to search for more effective ways to avoid risks becomes a matter of car insurance companies to consider. In 2005, AXA pioneered this strategy, selling EUR 200 million of bonds, as securitization of their motor insurance portfolio. Since the issue of the innovative motor insurance securities from AXA, motor securitization has been receiving considerable attention from the insurers.Based on previous efforts and achievements, this article studies the pricing model of auto insurance derivatives, and finally gives the empirical analysis. This article is divided into four chapters: Chapter I elaborates the background and significance of subject selection, and describes the importance of the research which proceeds from reality. Chapter II elaborates the study of pricing model of car insurance securities and its derivatives, briefly introduces the history and present situation of car insurance, and previous research on car insurance loss rate derivatives, which this article is based on. Chapter III elaborates the pricing model of car insurance securities derivatives, and finally gives the pricing model of car insurance loss rate options which based on some preparatory knowledge and previous research. Chapter IV gives the pricing model of car insurance claim option, which based on PORT method and Wang transform. Chapter III and IV is the theoretical basis of this article, and at the end of each chapter, a empirical study is given based on actual data to study the feasibility of model.Based on previous efforts and achievements, this article researches the pricing model of car insurance securities derivatives, and finally gives empirical analysis.New about this article to be reflected in: 1. We give the more suite pricing model of car insurance loss rate options based on the work of Bae et al. (2008) and Taehan Bae & Changki Kim (2009). At the end, we give the empirical analysis of options based on the data of Chinese insurance company. 2. We give the pricing model of car insurance claim options based on PORT method and Wang transform. At the end, we give the empirical analysis.