The Research Of Insurance Pricing Method Based On The Theory Of Asset Pricing

Abstract:The capital asset pricing model (CAPM) and the option pricing model (OPM) can be used in the research of insurance pricing. Comparing with the traditional premium making principle, the two models are more detailed, more reasonable, and their calculations are more accurate.In chapter Ⅰ, we introduce the history and present situation of the CAPM and OPM used in the insurance pricing at home and abroad.In chapter Ⅱ, we introduce the basic contents of CAPM and OPM, and their related theories, then prove that the CAPM and OPM can be used in the insurance pricing, this is reasonable. Then apply the B-S option pricing model and the CAPM in the insurance product pricing. At the same time, in order to make the application of the two models more conform to reality, the application conditions of CAPM and OPM are modified.In Chapter Ⅲ, for the OPM, by adding the condition of taxation, the result shows that:because of pulsing the present value of the revenue, the fair premium will rise.In chapter Ⅳ, for the CAPM, by adding the conditions of default risk of insurance company, being comparing without taking account the default risk, the former have lower fair premium. Then binding the CAPM and OPM, them can be applied in the fair premium pricing, and extending the model further, by adding the conditions of investment proportion and reinsurance expenses, we discuss the fixed and variable transaction costs respectively, the results show that:the less reinsurance cost, less transaction costs, the less premium is required. Finally, this paper also discusses the situation of fixed value and variable tax respectively, the results show that:under the condition of tax, the fair premium have some connection with the tax level.