Price Regulation in Property-Liability Insurance: A Contingent-Claims Approach
用离散时间期权定价模型推导财产责任保险公司的“公平”回报率，将股东、保单持有人和税务机关的金融债权建模为基于资产组合收入的欧式期权，并考虑了破产概率和非线性税收效应。
A discrete-time option-pricing model is used to derive the “fair” rate of return for the property-liability insurance firm. The rationale for the use of this model is that the financial claims of shareholders, policyholders, and tax authorities can be modeled as European options written on the income generated by the insurer's asset portfolio. This portfolio consists mostly of traded financial assets and is therefore relatively easy to value. By setting the value of the shareholders' option equal to the initial surplus, an implicit solution for the fair insurance price may be derived. Unlike previous insurance regulatory models, this approach addresses the ruin probability of the insurer, as well as nonlinear tax effects.