基于长寿风险指数化的权益指数年金定价研究

发布时间：2018-06-27 07:19

本文选题：权益指数年金 + 参与率　；参考：《安徽工程大学》2013年硕士论文

【摘要】：权益指数年金自从在美国市场上推出后,便迅速发展起来。权益指数年金作为一种指数型年金,本质上是一种递延年金,这类年金保证最低收益,同时保证本金及以前的投资收益不受损失,并且在最低保证收益基础上年金实际支付给保户的收益率与预先规定好的某类股指收益或债券指数相关联。经历了约二十年的发展,权益指数年金在产品精算定价、风险管理等方面的应用日趋重要起来。考虑到随着经济的快速增长与医疗条件的不断改善,死亡率急剧下降,这就直接导致了长寿风险给保险公司带来了财务风险。长寿风险是否能顺利规避,核心在于对死亡率的预测以及基于长寿风险的年金产品的定价上。本论文基于权益指数年金的定价和长寿风险下死亡率的预测,分别讨论了在死亡率带跳情形下和不同群体间死亡率存在相关性的情形下的权益指数年金的定价研究。论文在对权益指数年金进行定价的过程中,与以往处理考虑长寿风险下权益指数年金定价的重点区别在于：先前相关学者定价的基础假设就是死亡率是个常值或者服从某个连续时间过程,而本文则主要从两方面考虑：一是假定死亡率服从一个带跳过程,因为地震、海啸等突发事件的发生必然会对死亡率造成影响,而死亡率的变化也会直接影响到权益指数年金的定价；二是不同群体间的死亡率并非完全独立的,而是存在某种程度的相关性。然后基于这两种情况分别建立死亡率模型,同时在新模型下对影响均衡参与率的因子如保证利率和递延期间等进行了敏感性分析,并与基于经典Lee-Carter模型下权益指数年金的定价进行比较分析,得到新模型模型相对于经典Lee-Carter模型而言,可以更加精确地反映死亡率对权益指数年金定价的影响。最后,给出了本文的结论与展望。
[Abstract]:Equity index annuities have developed rapidly since they were introduced on the U.S. market. Equity index annuity, as an exponential annuity, is essentially a deferred annuity, which guarantees the minimum income, and at the same time guarantees that the principal and previous investment income will not be lost. And on the basis of the minimum guaranteed income, the actual payment rate of annuity to the insured is related to the predetermined return or bond index of a certain type of stock index. After about 20 years of development, the application of equity index annuity in actuarial pricing and risk management has become more and more important. Taking into account the rapid growth of economy and the continuous improvement of medical conditions, the mortality rate drops sharply, which directly leads to the risk of longevity and brings financial risk to insurance companies. Whether longevity risk can be avoided smoothly lies in the prediction of mortality rate and the pricing of annuity products based on longevity risk. Based on the pricing of equity index annuity and the prediction of mortality under longevity risk, this paper discusses the pricing of equity index annuity under the condition of death rate jump and the correlation of mortality among different groups. In the process of pricing equity index annuity, The key difference between the pricing of equity index annuity under the consideration of longevity risk in the past is that the previous related scholars based on the assumption that mortality is a constant value or service from a certain continuous time process. And this paper mainly considers from two aspects: one is to assume that the death rate of clothing from a jump process, because the occurrence of earthquakes, tsunamis and other emergencies will inevitably have an impact on the mortality rate, The change of mortality will also directly affect the pricing of equity index annuity. Second, the mortality rate among different groups is not completely independent, but there is a certain degree of correlation. Then the mortality model is established based on the two cases, and the sensitivity analysis of the factors influencing the equilibrium participation rate, such as guaranteed interest rate and deferred period, is carried out under the new model. Compared with the pricing of equity index annuity based on the classical Lee-Carter model, the new model can reflect the effect of mortality on the pricing of equity index annuity more accurately than the classical Lee-Carter model. Finally, the conclusion and prospect of this paper are given.
【学位授予单位】：安徽工程大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F840.3;F224

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