基于现金分红下的分红保险产品定价研究

发布时间：2018-02-02 15:14

本文关键词： 分红保险趸交保费 Vasicek利率模型分红储备风险中性概率测度　出处：《南京财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：分红保险是这样一种保险,即保险公司承诺在每个保险的年度内,在确保被保险人能够收到固定收益的前提下,并且是根据保险公司自身的经营状况,将保险公司的投资收益分配给被保险人。所以分红保险是兼具保障功能和投资功能的险种,受到人们的欢迎。尤其是2009年金融危机之后,人们认识到分红保险抵御通货膨胀和利率波动的功能,因此分红保险在国内掀起了热潮。分红保险的期初趸交保费通常为被保险人的身故给付金和各期分配的投资收益的现值之和。一般来说分红保险根据红利的分配方式的不同可以分成两种,即现金红利和保额红利。现金红利就是保险公司分配红利给被保险人是以现金的方式；保额红利就是保险公司分配给被保险人的红利不是以现金方式,而是增加保单持有人的额外保险保障。本文只考虑基于现金分红下的分红保险产品的定价问题。本文首先探讨了我国分红保险的投资状况,然后再引用随机过程的一些理论知识。建立投资组合收益模型,其中利用Vasicek模型得到国债收益的微分方程,利用CEV模型(即常数方差弹性模型)得到证券市场收益的微分方程。设定投资比例,组建投资组合收益模型,进而得到投资组合年收益。根据以上得出的投资组合模型,在只考虑现金分红的情况下,利用金融经济学风险定价原理,在随机利率、死亡完全分散的情况下,建立分红特别储备账户,计算分红保险趸交纯保费的价值,并且与传统寿险定价公式相比较,得出分红特备储备账户下红利分配方式的价值。此外,本文还进行了敏感性分析,主要分析了投资比例变动、分红比例变动、合同期限变动、被保险人年龄变动以及在双倍两全保险下到期给付、死亡给付成比例下对分红保险趸交纯保费和该种分配方式下红利分配价值的影响。以期对寿险公司分红产品定价和风险控制提供一定的参考。
[Abstract]:Share out bonus insurance is such kind of insurance, namely insurance company promises in each insurance year, under the premise that ensures insurant can receive fixed income, and is according to insurance company's own management condition. Distribution of the investment income of insurance companies to the insured. So dividend insurance is a kind of insurance with both the function of protection and investment, which is welcomed by people, especially after the financial crisis in 2009. People realize the function of dividend insurance against inflation and interest rate fluctuation. The beginning of bonus insurance is usually the sum of the present value of the insurant's death payment and the investment income allocated in each period. Generally speaking, dividend insurance is based on the distribution of dividends. Different ways can be divided into two types. Namely the cash dividend and the insured amount dividend. The cash dividend is the way that the insurance company distributes the dividend to the insured; The dividend of insurance amount is the dividend that insurance company distributes to insurant is not with cash form. This paper only considers the pricing of dividend insurance products based on cash dividend. Firstly, this paper discusses the investment situation of China's dividend insurance. Then some theoretical knowledge of stochastic process is used to establish a portfolio return model in which the Vasicek model is used to obtain the differential equation of bond yield. By using CEV model (constant variance elasticity model), the differential equation of stock market income is obtained. The investment ratio is set up and the portfolio return model is established. According to the portfolio model, considering only the cash dividend, using the risk pricing principle of financial economics, in the case of random interest rate, death is completely dispersed. Set up special reserve account of dividend, calculate the value of net premium paid by dividend insurance, and compare with the traditional life insurance pricing formula, get the value of dividend distribution under special reserve account. This paper also carries on the sensitivity analysis, mainly analyzes the investment proportion change, the dividend proportion change, the contract term change, the insured age change and under the double double full insurance due payment. The effect of death payment in proportion on the net premium of dividend insurance and the value of dividend distribution in this way is expected to provide a certain reference for the pricing and risk control of life insurance company dividend products.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F842.6;F224

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