随机利率下新农保替代率精算模型研究

发布时间：2018-06-01 08:31

本文选题：新农保 + 精算模型　；参考：《哈尔滨工程大学》2014年硕士论文

【摘要】：在全球人口老龄化的背景下,养老问题备受各国关注,其中农村居民的养老问题尤为重要且紧迫。基于新农保制度的基本原则,即“保障基本生活、扩大覆盖面、设定多种缴费档次和补贴标准、建立可持续发展机制”,考虑新农保能否达到“保障基本生活”的目标,对新农保的供给替代率和农村居民自身需求替代率的研究刻不容缓。但是,从我国新农保的研究现状来看,国内的文献大多是对新农保进行了定性分析,以精算学为基础的定量分析较少。尽管部分学者已经从精算学的角度对新农保相关问题进行研究,但是建立的模型比较单一,不能适应复杂多变的社会环境,不能精确的反映新农保的实施现状。基于上述问题,本文主要从以下几个部分对新农保的替代率进行研究。第一,在固定利率下,推导了新农保的供给替代率,并对影响该替代率的几个因素进行敏感性分析;第二,首先考虑到多种因素对利率波动的影响,采用布朗运动、反射布朗运动、Gauss过程、Poisson过程等对利息力积累函数进行建模;其次,通过公式推导求出在几种利息力积累函数下的新农保的供给替代率期望值,进而我们可以从宏观上对新农保供给替代率水平有一个掌握;再次,通过蒙特卡洛仿真进行算例分析,根据所得的新农保供给替代率的期望、方差、经验分布函数图、经验密度函数图,进而我们可以对新农保供给替代率水平有一个更细微、更具体的掌握;第三,运用Eviews软件进行时间序列分析及相关计算,对农村居民的需求替代率进行仿真和预测,通过比较新农保的供给替代率水平和农村居民的需求替代率水平,由所得结果预测新农保能否达到“保基本”的原则,根据前述的敏感性分析,提出与之对应的改进建议。
[Abstract]:Under the background of global population aging, the pension problem has been concerned by many countries, among which the pension problem of rural residents is particularly important and urgent. Based on the basic principles of the new rural insurance system, namely, "to ensure basic living, to expand coverage, to set up various payment levels and subsidy standards, to establish a sustainable development mechanism", and to consider whether the new rural insurance can achieve the goal of "ensuring basic living". It is urgent to study the supply substitution rate of new rural insurance and the replacement rate of rural residents' own demand. However, from the point of view of the current research situation of the new rural insurance in China, most of the domestic literatures have carried on the qualitative analysis to the new rural insurance, and the quantitative analysis based on the actuary is less. Although some scholars have studied the new rural insurance from the perspective of actuarial science, the established model is relatively simple, can not adapt to the complex and changeable social environment, and can not accurately reflect the status quo of the implementation of the new rural insurance. Based on the above problems, this paper mainly studies the substitution rate of new rural insurance from the following parts. First, under the fixed interest rate, the supply substitution rate of the new rural insurance is deduced, and the sensitivity analysis of several factors affecting the substitution rate is carried out. Secondly, considering the influence of many factors on the interest rate fluctuation, the Brownian motion is adopted. The interest accumulation function is modeled by the reflected Brownian motion Gauss process and Poisson process. Secondly, the expectation value of the supply substitution rate of the new rural insurance under several kinds of interest force accumulation functions is derived. Then we can have a macroscopic grasp of the level of supply substitution rate of new rural insurance. Thirdly, through Monte Carlo simulation to carry out an example analysis, according to the expectation, variance, empirical distribution function diagram of the supply substitution rate of new rural insurance. Empirical density function graph, and then we can have a more subtle and more specific grasp of the level of supply substitution rate of new rural insurance. Thirdly, using Eviews software to carry out time series analysis and related calculations, The demand substitution rate of rural residents is simulated and forecasted. By comparing the level of supply substitution rate of new rural insurance and the level of demand substitution rate of rural residents, the results are used to predict whether the new rural insurance can achieve the "basic protection" principle. According to the sensitivity analysis mentioned above, the corresponding improvement suggestions are put forward.
【学位授予单位】：哈尔滨工程大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F323.89;F842.67;F224

【参考文献】