《保险研究》20210501-《保险公司视角下的“保险+期货”定价模型及其验证》（吴开兵、仇铮、曹思静）

［摘   要］“保险+期货”产品费率厘定不准确会导致项目的实际赔付率与预期赔付率出现偏差,造成不同主体间利益的不平衡,影响这一创新产品的良性发展。本文在预测农产品价格的基础上,将农产品价格数据特征及保险条款因素与“价格保险”的定价模型进行了耦合,通过Copula对存在关联关系农产品价格和产量分布进行了连接,结合目标价格、目标产量、保险条款改写“收入保险”定价模型的有关算法,优化了“保险+期货”产品的定价过程。验证表明,优化后的定价过程可以提升“保险+期货”产品的定价精度。此外,本文还对“不同于美式期权、欧式期权、亚式期权的‘农产品期权’的定价”,起始价格、预期平均价格在期权定价中的对接,历史数据特征、保险条款因素与期权定价模型的耦合,不同行权价格、不同期权类型、不同行权条件下的期权换算等问题进行了技术性探讨。

［关键词］保险+期货；价格保险；收入保险；农产品期权；蒙特卡洛模拟

［作者简介］吴开兵,太平洋安信农业保险股份有限公司,审计责任人,高级审计师,CISA,博士；仇铮,中国太平洋保险(集团)股份有限公司审计中心,审计师；曹思静,中国太平洋保险(集团)股份有限公司审计中心,中级会计师。

“Insurance+Futures” Pricing Model and Its Verification from the Perspective of Insurance Companies

WU Kai-bing,QIU Zheng,CAO Si-jing

Abstract：If the premium rate of "insurance + futures" is inaccurate,it will lead to the deviation between the actual loss ratio and the expected loss ratio of the project,resulting in the imbalance of interests among different subjects,and affecting the healthy development of the new "insurance + futures" product. Based on the price forecast of agricultural products,this paper coupled the data characteristics of agricultural product prices and insurance terms with the pricing model of "price insurance"; used Copula to connect the price distribution and output distribution of agricultural products,and rewrote the Monte Carlo simulation algorithm by combining the target price,target output and insurance terms; optimized the pricing process of "insurance + futures" products. The verification showed that the optimized pricing process could improve the pricing accuracy of "insurance + futures" products. In addition,this paper also technically explored on such issues as the pricing of agricultural options which were different from American options,European options and Asian Options,the connection of initial price and expected average price in option pricing,the coupling of historical data characteristics,insurance terms and option pricing models,and the option conversion under different exercise prices,different option types and different exercise conditions,etc.

Key words：insurance + futures; price insurance; income insurance; agricultural products option; Monte Carlo Simulation