随机死亡率下的变额年金产品研究

发布时间：2018-03-02 19:48

本文选题：变额年金保险　切入点：Lee-Carter模型　出处：《安徽工程大学》2013年硕士论文　论文类型：学位论文

【摘要】：2010年7月7日,变额保险产品作为一种创新性的新型保险产品便应运而生,在国外发展很好的变额年金保险产品将正式引入中国。在这种背景下,对变额保险产品的一些深入的研究就具有十分重要的意义。鉴于近年来我国人口死亡率不断改善,并伴随经济快速的发展、卫生环境水平的大幅提高,以及近年来生物基因科技的不断进步,未来人口死亡率仍可能呈现较大幅度的下降,届时对变额年金产品的传统定价模型的静态假设将面临更大的冲击。因此本文主要对随机死亡率的年额年金产品展开研究。首先介绍了目前国内外的研究现状,对一般变额年金产品特征进行了分析,接下来考虑了变额年金产品的风险因素和新的年金产品设计,主要分为以下几个方面：第一,构建死亡率预测模型,首先对经典的Lee-Carter模型的参数求解进行了改进,并将得到的结果和原Lee-Carter模型结果通过算例进行了论证对比,通过分析得到改进的Lee-carter模型对于经验死亡率的拟合具有更小的误差,而且从三维图上来看,改进的模型拟合的残差具有更好的随机分布性和较小的绝对误差。第二,在随机死亡率下分析了变额年金的长寿风险并从保险公司的死差益、费差益和利益差三方面给出了具体的定量分析。第三,从我国保险业一般应对长寿风险的路径出发,提出变额年金的死亡率指数因子,考虑随机变量的波动因素,对预测的死亡率进一步进行了逼近处理,使死亡率指数因子更加合理,通过死亡率指数因子构造一类死亡率指数年金,使其更好的应对长寿风险。第四,进一步考虑了两类新的变额年金,既带动态提款收益的一般变额年金和带动态提款的权益指数年金,并给出了该类变额年金合约的定价公式的显示表达式。最后对文章进行了总结和展望,希望通过借鉴国内外的研究成果和自身的一些思考研究,为我国的变额年金产品的发展提供一定的参考。
[Abstract]:In July 7th 2010, as an innovative new type of insurance product, variable value insurance products will be introduced into China. Some in-depth studies on variable insurance products are of great significance. In view of the continuous improvement in the mortality rate of China's population in recent years and the rapid economic development, the level of the health environment has been greatly improved. And with recent advances in biomedical science and technology, the future mortality rate is likely to show a significant decline. At that time, the static assumption of the traditional pricing model of variable size annuity products will face a greater impact. Therefore, this paper mainly studies the annualized annuity products with random mortality. Firstly, this paper introduces the current research situation at home and abroad, analyzes the characteristics of general variable annuity products, and then considers the risk factors of variable annuity products and the design of new annuity products, which are mainly divided into the following aspects:. First, the mortality prediction model is constructed. Firstly, the parameter solution of the classical Lee-Carter model is improved, and the results obtained are compared with the results of the original Lee-Carter model through an example. The improved Lee-carter model has smaller error in empirical mortality fitting, and the residual error of the improved model has better random distribution and smaller absolute error. Secondly, the risk of longevity of variable annuity is analyzed under random mortality, and the quantitative analysis is given from three aspects: death benefit, cost difference and benefit difference. Thirdly, starting from the path of insurance industry in China to deal with the risk of longevity, the mortality index factor of variable annuity is put forward, and the fluctuating factors of random variables are considered, and the predicted mortality rate is further approximated. The mortality index factor is more reasonable and a kind of mortality index annuity is constructed through the mortality index factor to make it better deal with the risk of longevity. In 4th, two new types of variable annuity are considered, namely the general variable annuity with dynamic withdrawal income and the equity index annuity with dynamic withdrawal, and the expression of the pricing formula for this kind of variable annuity contract is given. Finally, the article is summarized and prospected, hoping to provide a certain reference for the development of variable annuity products in China by referring to the domestic and foreign research results and some of its own thinking and research.
【学位授予单位】：安徽工程大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F840.3;F224

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