傳統上用於保險定價之精算模式,率皆傾向於自保險市場之供給面以反映
損失分配之考慮;亦即,價格均由保險公司片面地決定,以滿足至少免於破
產之條件.而在另一方面,大多數應用於產物保險契約定價之財務模式皆未
臻完善.為管制產物保險契約價格之訂定,本文根據應變求償權理論發展保
險契約之定價公式,期使保險定價達於公平.本文首先建構一般性評價模
式,其中考慮保險期間內之保險金與投資所得所構成之現金流量.而各種風
險將影響保險金與投資所得之變動所依循之隨機過程;其次,為獲取一具體
之定價公式,本文考慮保險公司在面對求償頻率與幅度風險存在時之特定
情況,然後由此推導出一包含保險金之跳動的定價公式.結果顯示:保險金
相對於投資所得之比值將影響保險契約之價格.再者,保險金之跳動將使保
險公司之資產與負債皆受到鉅幅衝擊.因此,保險契約之價格亦隨之劇增.

The conventional actuarial models tend to reflect the loss
distribution of the supply side on the insurance market i.e.,
the price of the insurance contract is determined unilaterally
by the insurers so as to meet the least requirement that the
insurers will not go bankrupt. However, there also exist some
defectsin most of the fiancial pricing models.In order to
regul- ate the pricing of property-liability insurance
contracts, this study , based on the theory of contingent claim
valuation, devel- ops the insurance pricing formulas, which
will lead to fair insurnce pricing . Firstly, this stdy
constructs a general valua- tion model for property-liability
insurance contracts, which takes into account the cash flows
consisting of both the claim indemnity and the investment
income. Secondly, to obtain a closed form solution of the
pricing formula , this study considers the specific case which
the insurer confronts with the frgequency and the severity risk
, and thence derives a pricing formula , into which the jumps
incurred in claim indemnity are considered. The results show
that the pricing of property-liability insurance contracts will
depend on the ratio of the claim indemnity relat- ive to the
the investment income. Furthermore, the jumps incurred in claim
indemnity will exert significant impact upon both the assets
and liabities of the insurer.Hence, the price of property-
liability insurance contracts will also increase drastically
with these jumps.