Pricing theory for individual risks and management of insurance portfolio

基于金融工程中的无套利定价理论，推导并讨论了保险风险与金融风险相结合的个人保险风险酸性产品的定价公式。从最近有关需求面变动的角度来看，人们和公司对对冲风险的成本更加谨慎，并寻求通过复合产品更好地覆盖一系列风险。在这个项目中，我考虑了以下问题：1)用无套利方法研究各种保险产品的定价问题；2)在一定条件下具有自主回收结构的保险的定价问题，特别是火灾保险；3)保险和金融的融合以及保险、金融和企业风险的综合产品；4)东京电力公司和东京燃气公司提出的温度衍生品和保险的定价模型；5)房地产估价模型的建立问题，租金担保的定价公式，以及考虑商业建筑的租户管理问题。此外，应用相同的方法，默认的互换选项是有价值的。这被认为是一种信用风险保险，在经济状况不佳的情况下被广泛使用。

Based on no-arbitrage pricing theory in financial engineering, pricing formulas for individual insurance risks acid products of combining insurance risks and financial risks are developed and discussed. From a recent perspective on the movement of demand sides, people and companies are more careful about the cost of hedging risks and seeking a better coverage of a set of risks by a composite product. In this project, I considered the following problems.1) Via no-arbitrage approach the pricing problems of various insurance products.2) The pricing problem of insurance that has autonomous recovery structure under a specified condition, in particular fire insurance.3) Convergence of Insurance and finance and a composite product of insurance, financial and enterprise risks.4) Models for pricing temperature derivatives and insurance and risk swap made by Tokyo Electric Co and Tokyo Gas Co.5)The problems of developing Valuation mode for real estate properties, deriving a pricing formula for rent guaranty, and considering tenant management problem for commercial buildings.In addition, applying the same approach, a default swap option is valued. This is regarded as an insurance for credit risk, and it is popularly used under a bad economic condition.