状态依赖型HJM模型下投资连结生存保险的定价研究

发布时间：2018-05-03 19:37

本文选题：HJM模型 + Euler-Maruyama近似　；参考：《暨南大学》2014年硕士论文

【摘要】：本文针对投资连结生存保险的趸缴保费展开研究。具体分四类进行讨论：确定性给付的保单、纯投资连结保单、带有最低保证金额的投资连结保单和有给付上限、带最低保证金额的投资连结保单。主要由利率期限结构理论推导远期利率曲线,继而求得连结金融资产的价格和投资连结保险的趸缴保费。本文选用的利率期限结构模型是HJM模型。创新之处在于将模型波动项设定为状态依赖型,即σ(t,T,f(t,T)=σ min(f(t,T),λ),σ,λ0为正常数,重点推导此情形下远期利率的表达式。求解过程采用Euler-Maruyama离散法给出近似解,并结合Monte Carlo方法对远期利率进行数值模拟。
[Abstract]:This paper focuses on the wholesale premium of investment linked survival insurance. It is divided into four categories: deterministic insurance policy, pure investment linked policy, investment link policy with minimum guaranteed amount and upper limit of payment, and investment link policy with minimum guaranteed amount. The forward interest rate curve is derived from the term structure theory of interest rate, and then the price of the linked financial assets and the premium of the investment linked to insurance are obtained. The term structure model of interest rate chosen in this paper is HJM model. The innovation lies in the fact that the fluctuation term of the model is set as a state dependent type, that is, 蟽 t _ T _ T _ T _ T _ T _ (t) = 蟽 ~ (min) f ~ (t) T _ (T), 位 _ (1), 蟽, 位 _ 0 are normal numbers, and the expression of forward interest rate in this case is derived emphatically. The approximate solution is obtained by Euler-Maruyama discrete method, and the forward interest rate is numerically simulated with Monte Carlo method.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F842.6;F224

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