考虑多种因素下权益指数年金的定价

发布时间：2018-04-16 09:01

本文选题：权益指数年金 + 结构转换　；参考：《重庆大学》2014年硕士论文

【摘要】：伴随着全球的人口老龄化，我国人口预测表明，在未来几十年内，我国年龄结构类型不仅将从成年型转向老年型，，而且也将向高度老龄型发展。所以传统的年金产品已经不能满足人们对高投资回报的需求，且未来的老龄化这个重大问题也需要找到一些方法去缓解。应对该现状，保险公司推出的权益指数年金介于定额年金与变额年金，是一种递延年金，也是一种利率变动型年金产品。权益指数年金自推出以来受到普遍欢迎，其在最低保证收益基础上，并与某类股票或债券指数收益相关联。权益指数年金对那些惧怕市场风险而又想从股市增长中获取收益的人有很强的吸引力。同时保单持有人是以一定的比率参与股指的增长，这个比率即为参与率。所以确定合理的参与率，对年金产品的设计有重大影响。在本文中主要是在以Tiong给出的权益指数年金的定价公式，以及钱林义等的系列研究权益指数年金的定价问题基础上在考虑多种因素时，Esscher变换下，简单点对点法、年度重设法、高水档回视法及平均法下的权益指数年金的定价等研究。本论文结构如下：第一部分主要介绍年金、权益指数年金及计算指数收益率的方法，并指出在我国老龄化对养老保险制度的影响，且作了国内外对权益指数年金的相关研究综述。第二部分主要讲述了世界及我国金融市场上具有代表性的股票指数，介绍了随机过程、风险中性定理、B-S定价模型、等价鞅测度等相关预备知识，为后面的定价公式作了铺垫。第三部分主要介绍在分数布朗运动下，并考虑随机死亡风险，在结构转换的跳扩散风险，利用简单点对点法、年度重设法(Annual Reset)、高水档回视法及平均法分别计算权益指数年金的指数收益率，并进行相应方法下的定价。第四部分主要描述分别在以上四种常见的计算指数收益率的方法下，根据定价公式假定一些参数值，并分析其他几个参数对均衡参与率的影响。第五部分主要是对权益指数年金的研究进行了总结和展望。
[Abstract]:With the aging of the global population, the population forecast of our country shows that in the next few decades, the age structure of our country will not only change from the adult type to the old type, but also develop to the high age type.Therefore, the traditional annuity products can not meet the demand of high investment return, and the major problem of future aging also needs to find some ways to alleviate.In response to this situation, the equity index annuity issued by insurance companies is between fixed annuity and variable annuity. It is a deferred annuity and a kind of interest rate fluctuating annuity product.Equity index annuity has been widely welcomed since its launch. It is based on the minimum guaranteed return and is associated with certain stock or bond index returns.Equity index annuities have a strong appeal to those who fear market risk and want to profit from stock market growth.At the same time, policy holders participate in the growth of the stock index by a certain ratio, which is the participation rate.Therefore, the determination of a reasonable participation rate has a significant impact on the design of annuity products.In this paper, on the basis of the pricing formula of equity index annuity given by Tiong and Qian Linyi's series of studies on the pricing problem of equity index annuity, under the consideration of many factors, the simple point-to-point method is used in this paper.Research on the pricing of equity index annuity under the method of high water return and average.The structure of this paper is as follows: the first part mainly introduces the annuity, the equity index annuity and the method of calculating the exponential rate of return, and points out the influence of aging on the pension insurance system in our country.It also summarizes the research on equity index annuity at home and abroad.The second part mainly describes the representative stock index in the world and our country's financial market, introduces the stochastic process, the risk neutral theorem, the B-S pricing model, the equivalent martingale measure and so on, and makes the foundation for the latter pricing formula.In the third part, considering the risk of random death, the jump diffusion risk in structural transformation is introduced, and the simple point-to-point method is used.The annual return rate of the equity index annuity is calculated by the method of high water file return and the average method, and the pricing is carried out under the corresponding method.The fourth part mainly describes the above four common methods of calculating the rate of return of the index, according to the pricing formula assume some parameter values, and analyze the other parameters on the equilibrium participation rate.The fifth part is the summary and prospect of equity index annuity.
【学位授予单位】：重庆大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F842.67;F224

【参考文献】