变额年金中最低累积利益保证风险管理模式的研究

发布时间：2018-03-23 06:18

本文选题：变额年金　切入点：最低累积利益保证　出处：《湖南大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着中国人口老龄化、空巢化的加速发展，养老形势日趋严峻。而目前我国社会养老保险制度存在着巨大的养老金缺口，市场急需商业养老保险的支持来缓解养老压力。为丰富养老保险产品，调整保险市场结构，中国保监会于2011年发布了《关于开展变额年金保险试点的通知》和《变额年金保险管理暂行办法》，宣布开始进行变额年金试点。变额年金是西方养老保险市场上的主流产品，，简单来说，它是投资连结保险、最低利益保证及年金化支付的结合。本文所研究的最低累积利益保证，承诺在保险期末给付保单持有人的账户价值，不低于历史最高保单账户价值的一定比例。在市场情况不佳时，最低累积利益保证可能会给保险公司带来更大的损失，如何管控最低累积利益保证的风险成为发展这类产品首先需要考虑的问题。本文首先描述了变额年金的发展历程，对含有最低累积利益保证的变额年金进行了数字化演示。然后介绍了最低累积利益保证所面临的主要风险及国外常见的风险应对手段。最后从保监会认可的内部组合对冲模式和固定乘数平衡模式切入，探讨两种管理模式的理论依据、操作过程及存在的优缺点，并对固定乘数平衡模式进行了优化。由于实际数据的缺乏，文中运用蒙特卡罗的方法进行模拟分析，考察了固定乘数平衡模式下投资乘数和内部组合对冲模式下波动率的变动对保单账户价值的影响，并对不同市场状况下三种风险管理模式的对冲效果进行了情景模拟。本文从定性和定量的角度分析了最低累积利益保证的风险管理模式，模拟结果较符合实际，希望能在保险公司选择变额年金风险管理模式时起到参考作用。
[Abstract]:With the aging of China's population and the accelerated development of empty-nesting, the situation of providing for the aged is becoming more and more serious. However, at present, there is a huge pension gap in China's social endowment insurance system. The market urgently needs the support of commercial old-age insurance to ease the pressure on the aged. In order to enrich the products of old-age insurance and adjust the structure of the insurance market, In 2011, CIRC issued the notice on the pilot of variable annuity insurance and the interim measures for the management of variable annuity insurance, and announced the commencement of variable annuity pilot. Variable annuity is the mainstream product in the western endowment insurance market. In short, it is a combination of investment linked insurance, minimum interest guarantee and annuity payment. Promise to pay policy holder an account value at the end of the insurance period, not less than a certain percentage of the highest policy account value in history. In bad market conditions, the minimum cumulative interest guarantee may bring greater losses to the insurance company. How to manage the risk of minimum accrued interest guarantee becomes the first consideration in developing this kind of products. This paper first describes the development of variable annuity. This paper presents a digital demonstration of variable annuity with minimum cumulative interest guarantee. Then it introduces the main risks faced by minimum accumulated interest guarantee and the common risk coping methods abroad. Finally, it introduces the internal measures approved by the CIRC. The combination hedging model and the fixed multiplier equilibrium mode cut in, This paper discusses the theoretical basis, operation process, advantages and disadvantages of the two management modes, and optimizes the equilibrium mode of fixed multiplier. Due to the lack of actual data, the Monte Carlo method is used to simulate and analyze. In this paper, the effect of volatility variation on the value of policy account in the fixed multiplier equilibrium model and the internal portfolio hedging mode is investigated. The hedging effects of three risk management models under different market conditions are simulated. This paper analyzes the risk management model of the lowest cumulative interest guarantee from the qualitative and quantitative aspects, and the simulation results are in line with the reality. I hope to play a reference role in the insurance company to choose variable annuity risk management model.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F840.3;F830.9

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