传统寿险产品定价模型与方法研究

发布时间：2018-03-15 01:23

本文选题：前瞻亏损　切入点：资产份额定价法　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：目前保险市场上有各种不同的寿险产品,而不同类型产品的风险是各不相同的。产品定价在寿险公司经营管理中占据着重要的地位和作用,然而目前运用的几种定价方法并未完全考虑到利润和风险的关系,这可能给寿险公司带来经营风险。本文主要对以下三种不同类型的传统保险：定期寿险、两全保险和终身寿险的定价问题进行研究,并在研究过程中考虑了投保年龄以及投保险种不同而导致面临不同风险的异质保单组。首先推导出了三种保险的前瞻亏损的分布性质,确定了风险度量指标,并建立了相应的二次规划模型。针对固定的总体边际利润率,本文给出了单约束情形下的显式解,并证明了在多约束情形下解的存在惟一性。也在多约束情形下进行了一系列的数值分析,分析不同参数变化对于最终结果的影响,主要研究指标是最优保费以及不同产品、不同保单利润率的差异。本文采用的风险度量指标在最终的数值分析中较好的反映了不同保险产品因投保年龄和投保险种而导致的风险差异。在保证一定市场竞争力的情况下,使得定价为最优,尽可能保证了定价的公平性,避免逆选择的发生。
[Abstract]:At present, there are various life insurance products in the insurance market, and the risks of different types of products are different. Product pricing plays an important role in the operation and management of life insurance companies. However, the current pricing methods do not fully consider the relationship between profit and risk, which may bring business risks to life insurance companies. This paper focuses on the following three different types of traditional insurance: term life insurance. The pricing of both insurance and life insurance is studied. In the course of the study, the heterogeneous policy groups with different insurance age and different types of insurance policies are considered. Firstly, the distribution properties of the prospective losses of the three kinds of insurance are derived, and the risk measurement indexes are determined. The corresponding quadratic programming model is established. For the fixed total marginal profit rate, the explicit solution under the condition of single constraint is given in this paper. The existence and uniqueness of the solution is proved in the case of multiple constraints. A series of numerical analysis is also carried out in the case of multiple constraints, and the influence of different parameters on the final result is analyzed. The main research index is the optimal premium and different products. In the final numerical analysis, the risk measurement index used in this paper reflects the risk differences of different insurance products due to the insured age and the insurance type. Under the condition of ensuring certain market competitiveness, the risk measurement index adopted in this paper reflects the risk differences of different insurance products due to their insurance age and insurance coverage. Make pricing as optimal, as possible to ensure the fairness of pricing, avoid the occurrence of adverse selection.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F840.6

【共引文献】