Abstract：This paper mainly studies the insurance actuary pricing of European options on dividend-paying stocks for general Poisson jump-diffusion. By using the physical probabilistic measure of the pricing process of an assess and the principle of a fair premium, the insurance actuary pricing of European call options is obtained on continuous dividend-paying stocks, and the put-call parity of European option is given.

Keyword：jump-diffusion process;dividend-paying;option pricing;insurance actuary pricing;