基于NRIM假设的分数时点寿险净保费责任准备金研究

发布时间：2018-05-18 04:48

本文选题：NRIM假设 + 寿险　；参考：《保险研究》2015年05期

【摘要】：分数年龄分布假设FAAs是分数时点寿险净保费责任准备金计算的必要依据,假设方法的合理与精确程度决定着相应责任准备金等精算数据的计算精度。提出一类基于有理插值技术的分数年龄死亡分布的新假设方法——NRIM假设,此假设弥补了以往有理假设方法存在的不足,将更多死亡信息引入到分数年龄死亡率的估计中,进一步提高了估计精度。基于NRIM假设,研究了终身寿险分数时点净保费责任准备金的测算问题,得到了其理论计算公式,探讨了调节参数变化对该责任准备金计算的影响及其取值范围。最后,与RIM假设下的数值结果进行对比分析,发现:NRIM假设下的寿险分数时点净保费责任准备金的取值范围有所变小,但其随着调节参数趋于无穷时的收敛速度加快,计算结果更加稳定。
[Abstract]:The fractional age distribution assumes that FAAs is the necessary basis for calculating the net premium liability reserve in fractional life insurance. The calculation accuracy of actuarial data such as the corresponding liability reserve is determined by the rationality and accuracy of the hypothetical method. A new hypothesis method of fractional age death distribution based on rational interpolation technique, NRIM hypothesis, is proposed. This assumption makes up for the shortcomings of the previous rational hypothesis methods, and introduces more death information into the estimation of fractional age mortality. The estimation accuracy is further improved. Based on the NRIM hypothesis, this paper studies the calculation of the net premium liability reserve at the point of life insurance fraction, obtains its theoretical calculation formula, and discusses the influence of the adjustment parameters on the calculation of the liability reserve and the range of its value. Finally, by comparing with the numerical results under the RIM assumption, it is found that the net premium liability reserve under the life insurance fraction assumption has a smaller range of values, but its convergence rate accelerates with the adjustment parameters approaching infinity. The calculation results are more stable.
【作者单位】：山东财经大学保险学院;山东财经大学统计学院;
【基金】：国家自然科学基金项目(编号:71071088)的资助
【分类号】：F840.62

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