定期寿险业务偿付能力额度分析

发布时间：2018-05-29 06:08

本文选题：定期寿险 + 偿付能力额度　；参考：《复旦大学》2013年硕士论文

【摘要】：寿险公司偿付能力是指寿险公司在任何时候履行其保险合同下的到期义务的能力。由于偿付能力的是否充足关系到保险公司的运营资格、能否履行其对保户的承诺,乃至整个保险业的健康持续发展,因此无论是对保险业监管机构、现在及未来的保户、还是保险公司自身来说,偿付能力都至关重要。但是影响偿付能力的因素非常多,直接对其评估十分复杂,高昂的评估成本也降低了其可行性。故在实际操作中转而评估偿付能力的一个整体指标,即偿付能力额度。所以如何计算出一个合理的偿付能力指标并将其作为一种工具,对于整个保险业来说具有十分重要的意义。本文基于资产负债匹配原则,对寿险业的定期寿险业务提出了最优偿付能力额度模型,验证了最优问题解的存在性、惟一性,并给出相应解法。然而从统计上看,影响定期寿险业务偿付能力的风险不只是死亡率的波动,还包含利率,费用等等风险,故本文在还针对利率与费用等风险进行最优偿付能力额度的情景测试,分析该最优解对各种风险的敏感性问题。
[Abstract]:The solvency of a life insurance company is the ability of a life insurance company to fulfill its due obligations under an insurance contract at any time. As the adequacy of solvency relates to the operating qualifications of insurance companies, to the fulfilment of their commitments to the insured, and even to the healthy and sustainable development of the insurance industry as a whole, whether it is for insurance regulators, current or future insurers, It is also the insurance companies themselves that are critical to solvency. However, there are many factors affecting solvency, the direct evaluation is very complex, and the high cost of evaluation also reduces its feasibility. Therefore, in the actual operation of the assessment of solvency of an overall indicator, that is, solvency. So how to calculate a reasonable solvency index and use it as a tool is of great significance to the whole insurance industry. Based on the principle of asset-liability matching, this paper puts forward an optimal solvency model for life insurance business, verifies the existence and uniqueness of the solution of the optimal problem, and gives the corresponding solution. However, statistically speaking, the risk of affecting the solvency of term life insurance business is not only the fluctuation of mortality, but also the risk of interest rate, cost and so on. The sensitivity of the optimal solution to various risks is analyzed.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F842.62

【共引文献】