我国分红保险产品的定价模型研究

发布时间：2018-01-29 21:53

本文关键词： 分红保险投资组合鞅式期权定价方法现金分红　出处：《吉林大学》2013年硕士论文　论文类型：学位论文

【摘要】：兼具保障与投资功能的分红保险自2000年在我国首次推出，就以其独特的优势迅速占领市场。到2011年，分红保险在我国各大寿险公司业务中的比重都超过了50%，在个别寿险公司甚至超过90%。2011年上半年全国分红保险保费收入占寿险保费收入的比重已经达到91.6%。分红保险已经成为各家保险公司最主要的寿险业务。精算师在利用传统的精算方法对分红保险合同进行定价时，因为期权定价问题的研究还没有取得突破性进展，所以无法对于分红保险中分红权益的价值进行认定，于是回避这一问题。通常采用假定利率、死亡率、费率等满足某些保守的假设条件，确定一个保险合同的定价利率，进而得到分红保险产品的价值。然而，随着国际会计准则在中国的实施，保监会要求保险公司提交其负债的市场公允价值，以达到国际会计准则的要求。我国传统的定价模型由于没有给出保险合同内所包含的分红权益的价值，，因而受到挑战。而西方分红保险产品定价模型则针对保额分红保险提出，不能充分体现我国保险市场的特点。因此，按照新会计准则的要求，结合我国保险市场投资组合及消费者偏好现金分红保险的特点，建立起一个分红保险产品的定价模型，为保险公司认定负债的市场公允价值提供参考，是本文研究的目的。这一模型的建立对保险公司建立科学的定价方法，有效的规避定价风险，促进我国保险市场的健康发展具有重要意义。本文在阐述了分红保险基本理论的基础上，结合我国保险公司投资组合选择的实际特点，即银行存款、债券市场以及股票三种保险公司最主要的投资方式，利用鞅式期权定价法对分红保险合同中内嵌期权部分进行定价。最后，利用得到的现金分红保险产品定价模型以及Matlab数值计算平台，结合我国保险市场实际数据，对分红保险产品的保单进行了模型模拟和数据分析，以期望为我国分红保险的科学定价提供理论参考。
[Abstract]:Both security and function of investment insurance dividends for the first time since the 2000 launch in China, with its unique advantages quickly occupied the market. By 2011, the proportion of participating insurance in the insurance company of our country business in more than 50%, in the individual life insurance companies even more than 90%.2011 in the first half of the participating insurance premium income accounted for the proportion of life insurance premium income has reached 91.6%. insurance companies participating insurance has become a major life insurance business.
Actuarial pricing on dividends in the insurance contract using the traditional actuarial method, because of the option pricing problem is not a breakthrough, so not for dividends insurance equity value for the identification, so to avoid this problem. Usually used false rate, mortality rate, etc. to satisfy some conservative assumptions sure, a contract of insurance pricing interest rate, then get the bonus value of insurance products. However, with the implementation of the international accounting standards in China, CIRC, fair value requires insurance companies to submit their liabilities, to meet the requirements of international accounting standards in our country. The traditional pricing model because there is no insurance contract are included the Dividend Equity Value, thus being challenged. The pricing model of dividend insurance products for western insurance insured dividends proposed, can not fully reflect the I The characteristics of insurance market in China. Therefore, in accordance with the requirements of the new accounting standards, combined with the characteristics of China's insurance market portfolio and consumer preference of cash dividends insurance, establish a pricing model of dividend insurance products liability, the fair market value of the reference for the insurance company found that the purpose of the study is to establish this. To establish the model of scientific pricing method of insurance company, effectively avoid the price risk, is of great significance to promote the healthy development of China's insurance market.
This paper describes the basic theory of dividend insurance, combined with the actual characteristics of China's insurance company investment portfolio, namely bank deposits, bond market and stock three kinds of the most important insurance company investment, pricing of embedded option dividends insurance part of the contract by the martingale option pricing method. Finally, numerical computing platform the use of cash dividends insurance product pricing model and Matlab, combined with the actual data of China's insurance market, the dividend insurance products policy model is analyzed and simulation and data, in order to provide theoretical reference for the scientific pricing red insurance in China.

【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F842.629

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