关于市场一致内含价值评估方法在我国应用的一些探讨

发布时间：2018-03-16 01:32

本文选题：内含价值　切入点：市场一致　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：内含价值评估是寿险公司管理和寿险公司价值评估中一个重要的技术和手段。但随着内含价值理论体系的发展,原先被广泛采用的传统内含价值评估方法的一些问题逐渐显现出来,在这一背景下,市场一致性内含价值计算方法被提出并逐渐得到推广。本文主要对市场一致内含价值在我国的运用进行一些探讨,即在我国情况下,对市场一致内含价值的计算模型中一些参数的选择和模拟给出一点建议。在市场一致内含价值的计算模型中,折现率为无风险利率加上流动性风险溢价,本文对于无风险利率选用银行间固定利率国债即期收益率,并采用与公司资产相匹配的流动性风险溢价。对于随机利率的模拟,采用Hull-White模型,并用历史波动率作为模型中的波动率参数和用最小方差法估计利率的回归速度。不可对冲风险成本中考虑了死亡风险、长寿风险、退保风险、费用风险和巨灾风险,并使用资本成本法来计算不可对冲风险成本。最后,本文以分红两全保险为例,分别使用传统内含价值法和市场一致内含价值法来计算其内含价值。通过对结果进行性比较,分析市场一致内含价值的优点,并发现对于分红两全保险而言,传统内含价值对公司价值的评估较为谨慎。本文还对传统内含价值和市场一致内含价值的参数进行敏感性分析,分析主要参数的变化对结果产生的影响,对市场一致内含价值的参数选择起到一定的参考。
[Abstract]:Intrinsic value evaluation is an important technique and means in life insurance company management and life insurance company value evaluation. In this context, some of the problems of the traditional methods of intrinsic value assessment, which were widely used, have gradually emerged. The method of calculating the intrinsic value of market consistency has been put forward and popularized gradually. This paper mainly discusses the application of the market consistent intrinsic value in our country, that is, in our country, This paper gives some suggestions on the selection and simulation of some parameters in the market uniform intrinsic value calculation model. In the market consistent implicit value calculation model, the discount rate is the risk-free interest rate plus the liquidity risk premium. In this paper, the spot yield of interbank fixed-rate treasury bonds is chosen for risk-free interest rate, and the liquidity risk premium matching to the company's assets is adopted. For the simulation of stochastic interest rate, the Hull-White model is used. Historical volatility is used as the volatility parameter in the model and the regression rate of interest rate is estimated by the method of minimum variance. The risk of death, longevity, recuperation, cost and catastrophe are taken into account in the cost of non-hedgeable risk, such as death risk, longevity risk, reinsurance risk, cost risk and catastrophe risk. Finally, this paper takes the dividend insurance as an example, uses the traditional implicit value method and the market consistent implicit value method to calculate the implicit value. Through the progressive comparison of the results, the paper uses the method of capital cost to calculate the cost of non-hedging risk. This paper analyzes the advantages of market consistent implicit value, and finds that the traditional implicit value is more cautious in evaluating the company value for both dividend insurance and the traditional implicit value, and the sensitivity analysis of the traditional implicit value and the market consistent implicit value is also made in this paper. This paper analyzes the influence of the change of main parameters on the result, and provides a reference for the selection of the parameters with consistent intrinsic value in the market.
【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】：F840.3

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