基于个体公平原则的寿险产品定价方法研究

发布时间：2018-03-17 08:30

本文选题：倒向随机微分方程　切入点：寿险定价　出处：《山东科技大学》2017年硕士论文　论文类型：学位论文

【摘要】：保险对国民经济的发展有着巨大的潜在作用,它不仅对社会起到多方面的保障与风险防范作用,最为重要的是,巨额的保险资金一方面对社会的经济损失发挥着巨大的补偿作用,另一方面也通过投资的方式对总体经济的发展起着巨大的拉动作用。寿险公司得以生存和发展的关键是如何对寿险产品进行合理定价,寿险资金的运用不仅限于银行存款,也开始投资于一些金融产品,寿险公司为了提高自身的竞争力,正将运营模式由“承保获利”转向“运营获利”,因此如何准确合理地收取保费以及如何对保费进行合理地投资运用成为寿险业发展的重要问题。除此之外,寿险的定价问题与一般商品的定价也有一定的差别,寿险定价除了需要考虑市场需求外,还需要考虑收取的保费在保单期末要满足公司的营业利润以及赔付支出。因此对寿险定价理论进行深入研究,厘定公平合理的保费对寿险业的健康稳定发展具有重要的意义。本文运用倒向随机微分方程理论,考虑保险人及投保人对可投资资金的运用情况,将投保人和保险人置于同一系统中进行考虑,建立基于个体公平原则的寿险定价模型,主要工作如下:(1)运用倒向随机微分方程理论,根据投保人和保险人各自的投资决策目标分别阐述无套利寿险定价模型和资产份额定价模型;(2)根据一类特殊线性倒向随机微分方程的显示解,得出投保人和保险人各自的寿险定价公式及期初的投资策略,确定个体公平寿险定价条件;(3)对影响寿险定价的死亡率因素进行分析,运用L-C模型对我国不同年龄及不同性别的人口死亡率进行预测估计;(4)实证分析,对实证结果进行分析并提出相应的政策建议。通过分析研究可以发现,基于投资的寿险定价模型得出的保费,不仅考虑了寿险公司的预期收益情况,而且给出了寿险公司期初的最优投资策略,以此定价方法开发出的寿险产品更能适应竞争日益激烈的寿险市场。
[Abstract]:Insurance has a great potential role in the development of national economy. It not only plays a role of protection and risk prevention in many aspects of society, but also, most importantly, On the one hand, the huge amount of insurance funds plays a huge role in compensating the economic losses of the society. On the other hand, it also plays an important role in the overall economic development through investment. The key to the survival and development of life insurance companies is how to price life insurance products reasonably, and the use of life insurance funds is not limited to bank deposits. Also beginning to invest in some financial products, life insurance companies in order to improve their competitiveness, The mode of operation is changing from "underwriting profit" to "operating profit". Therefore, how to collect the premium accurately and reasonably and how to make reasonable investment and utilization of the premium becomes an important problem in the development of the life insurance industry. The pricing problem of life insurance is also different from that of general commodities. In addition to considering market demand, life insurance pricing needs to be taken into account. We also need to consider the premium collected at the end of the policy period to meet the company's operating profits and expenses. It is of great significance to determine a fair and reasonable premium for the healthy and stable development of the life insurance industry. This paper applies the theory of backward stochastic differential equation to consider the use of investable funds by insurers and policy holders. The policy-holder and insurer are considered in the same system, and the life insurance pricing model based on the principle of individual equity is established. The main work is as follows: 1) applying the theory of backward stochastic differential equation. According to the policy holder and the insurer's respective investment decision goal, respectively expound the no-arbitrage life insurance pricing model and the asset share pricing model / 2) according to a kind of special linear backward stochastic differential equation, This paper obtains the life insurance pricing formula and the investment strategy of the policy holder and the insurer respectively, and determines the individual fair life insurance pricing conditions. (3) analyzes the mortality factors that affect the life insurance pricing. An empirical analysis of the population mortality rate of different ages and different genders is carried out by using the L-C model. The empirical results are analyzed and corresponding policy recommendations are put forward. Through the analysis and study, it can be found that, The premium obtained from the investment-based life insurance pricing model not only considers the expected income of the life insurance company, but also gives the optimal investment strategy of the life insurance company at the beginning of the period. The life insurance products developed by this pricing method are more suitable for the increasingly competitive life insurance market.
【学位授予单位】：山东科技大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F842.62

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