基于中国人口死亡率的寿险保单贴现定价研究

发布时间：2018-05-27 05:14

本文选题：寿险保单贴现 + 双指数跳跃扩散模型　；参考：《保险研究》2014年07期

【摘要】：在寿险保单贴现的过程中,保单持有者将保单出售给第三方机构。本文中,我们首先对寿险保单贴现市场进行一般性的介绍,同时论述这一市场在中国存在的必要性。在Lee-Carter模型的基础上,通过双指数跳跃扩散模型整合了长寿风险和死亡率跳跃,很好地拟合了中国的死亡率数据。讨论了在拥有新的医疗信息(比如对投保人剩余预期寿命的估计)的情况下对寿险保单产品的定价。为了整合这些医疗信息,我们使用了统计学中的信息理论,对事先选定的死亡率表格进行调整,在整合了所有的医疗信息的前提下,尽可能地接近原始表格。利用调整后的死亡率表格,对寿险保单进行了现金流折现定价。我们选用了几种不同的死亡率数据,最终发现,传统的确定性定价方法会低估保单的价值,因而概率性定价的方法更具优越性。
[Abstract]:In the life insurance policy discount process, the policy holder sells the policy to a third party. In this paper, we first give a general introduction to the life insurance policy discount market, and discuss the necessity of the existence of this market in China. Based on the Lee-Carter model, the longevity risk and mortality jump are integrated by the double exponential jump diffusion model, and the mortality data of China are fitted well. This paper discusses the pricing of life insurance policy products with new medical information (such as the estimation of the remaining life expectancy of the insured). In order to integrate these medical information, we use the information theory in statistics, adjust the pre-selected mortality table, and get as close as possible to the original table under the premise of integrating all the medical information. Using the adjusted mortality table, the cash flow discount pricing of life insurance policy is carried out. We select several different mortality data, and finally find that the traditional deterministic pricing method will underestimate the value of insurance policies, so the probabilistic pricing method is more superior.
【作者单位】：清华大学经济管理学院;
【基金】：小林实中国经济研究基金教育部人文社会科学研究青年基金项目(12YJCZH267) 国家自然科学基金(71273150)的资助
【分类号】：F840.62

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