Application Of Backward Stochastic Differential Equations In Reinsurance

In recent years,the financialization of insurance is a worldwide trend and the main direction of the development of the insurance and reinsurance industry.Traditional insurance companies have expanded from the insurance market to the capital market,and insurance operations have expanded from underwriting to investment.At the same time,reinsurance has become an important means for the insurance industry to seek financial security and guarantee.The reasonableness of premium determination is the core of the entire insurance industry because the formulation of insurance costs is the focus for employees to control the balance of corporate assets and liabilities.Therefore,designing an insurance pricing formula that fits the corporate environment is what the Pricing Research Institute pursues.Backward stochastic differential equations not only have good mathematical properties,but also can be applied to investment theory.Company decision makers can use a large amount of historical data to determine the near-term profit target,especially the data on the number of claims and the amount of loss.After fully estimating the future funds required,the pricing method in this article can be used to determine the actual risk investament portfolio and calculate the determined insurance product price.You can even consider insurance contracts in the case of reinsurance in advance.This paper improves the insurance pricing formula of backward stochastic differential equations from the perspective of investment to obtain premiums,and adds the two factors of enterprise operating rate and liability reserve rate to make it more in line with the actual operating conditions of insurance companies.At the same time,the price calculation formulas of the original insurance and reinsurance are derived,and an empirical analysis is carried out.From the pricing formula,it can be concluded that the original premium is closely related to the reinsurance premium.And compare the model of backward stochastic differential equation with traditional pricing method.The display solution obtained through the model can explore different factors that affect the insurance price and provide a reference for the enterprise's capital planning.Comparing the prices obtained with traditional methods can promote insurance to invest more actively in funds,actively optimizing corporate finance with the market,and cultivating better contracting capabilities for insurance companies.