结合资产配置策略测算多期收益保证价值

发布时间：2019-03-22 11:10

【摘要】：投资机构能够采取某种资产配置策略,改变由收益保证所引致的期末偿付能力不足风险,并根据风险与价值对等的原则,进而改变收益保证的价值.但是,现有文献在测算收益保证价值时并没有考虑资产配置策略.针对现有文献的不足,在一种新的收益保证形式下,提出了结合资产配置策略测算收益保证价值的新方法,然后以固定组合(CM)、生命周期(DL)、固定比例组合保险(CPPI)三种策略为特例,分别测算了多期收益保证价值.结论表明,1)投资机构采取的资产配置策略以及策略参数是影响收益保证价值的重要因素,投资机构采取避险策略将会降低收益保证的价值;2)当多期收益保证的期数逐渐增大时,多期收益保证价值显著地变大.
[Abstract]:The investment institution can adopt some kind of asset allocation strategy, change the end-of-term solvency risk caused by the income guarantee, and then change the value of the income guarantee according to the principle of equal risk and value. However, the existing literature does not consider the asset allocation strategy when calculating the guaranteed value of income. In view of the deficiency of the existing literature, under a new form of income guarantee, this paper puts forward a new method to estimate the guaranteed value of income combined with asset allocation strategy, and then puts forward a new method of calculating the guaranteed value of income based on the fixed portfolio (CM), life cycle (DL),. Three strategies of fixed proportion portfolio insurance (CPPI) are used as special cases, and the guaranteed value of multi-period income is calculated respectively. The conclusions are as follows: 1) the asset allocation strategy and strategic parameters adopted by the investment institution are the important factors that affect the value of the income guarantee, and the risk aversion strategy will reduce the value of the income guarantee; 2) when the period of multi-period income guarantee increases gradually, the guarantee value of multi-period income increases significantly.
【作者单位】：上海交通大学安泰经济与管理学院;
【基金】：国家自然科学基金资助项目(70773076)
【分类号】：F224;F830.9

【参考文献】