零期望效用原理下的贝叶斯保费

doi:10.12341/jssms12869

系统科学与数学 ›› 2016, Vol. 36 ›› Issue (8): 1318-1328.DOI: 10.12341/jssms12869

零期望效用原理下的贝叶斯保费

温利民¹，庄小红²

1.江西师范大学数学与信息科学学院，南昌 330022；2.上饶师范学院经济与管理学系，上饶 334000

出版日期:2016-08-25 发布日期:2016-09-26

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温利民，庄小红. 零期望效用原理下的贝叶斯保费[J]. 系统科学与数学, 2016, 36(8): 1318-1328.

WEN Limin,ZHUANG Xiaohong. BAYESIAN PREMIUM UNDER ZERO-UTILITY PREMIUM PRINCIPLE[J]. Journal of Systems Science and Mathematical Sciences, 2016, 36(8): 1318-1328.

BAYESIAN PREMIUM UNDER ZERO-UTILITY PREMIUM PRINCIPLE

WEN Limin ¹,ZHUANG Xiaohong²

1.School of Mathematics and Information Science, Jiangxi Normal University, Nanchang 330022;2.Department of Economics and Management, Shangrao Normal University, Shangrao 334000

Online:2016-08-25 Published:2016-09-26

在零期望效用保费原理下，定义了风险保费及贝叶斯保费，讨论了零期望效用保费及损失函数的关系，得到了各种效用函数下的贝叶斯保费，并证明了这些贝叶斯保费的强相合性，最后通过数值模拟的方法验证了贝叶斯保费的收敛速度。

关键词： 零期望效用保费, 风险保费, 贝叶斯保费, 相合性.

Risk premium and Bayesian premium under zero-utility principle are derived. The relationship between zero-utility premium and loss function is also discussed. In addition, the Bayesian premiums are given under some special utility function, and the strong consistency of Bayesian premiums are proved. Finally, the convergence speed of these Bayesian premium are checked by numerical simulations.

MR(2010)主题分类:

91B30
62P05

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