Vasicek模型下寿险公司利率风险最低资本研究

发布时间：2018-11-10 17:13

【摘要】：本文基于中债国债收益率曲线的数据,选用Vasicek模型对利率期限结构进行建模,讨论"偿二代"利率风险最低资本度量方法。本文以一款年金产品和十年期债券为例,对利率风险度量的标准法、蒙特卡洛模拟法分别建模,得到不同方法下利率风险的最低资本。研究结果表明:第一,"偿二代"下利率风险的标准法与蒙特卡洛模拟法的输出结果差异较大;第二,资产与负债评估不一致会导致利率风险最低资本被高估。
[Abstract]:Based on the data of the yield curve of Chinese bond, this paper uses Vasicek model to model the term structure of interest rate, and discusses the lowest capital measure method of interest rate risk of "repaying the second generation". Taking an annuity product and a ten-year bond as an example, this paper models the standard method of interest rate risk measurement and Monte Carlo simulation method, and obtains the minimum capital of interest rate risk under different methods. The results show that: first, the difference between the standard method and Monte Carlo simulation method of interest rate risk under the "second generation" is great; second, the inconsistency between assets and liabilities assessment will lead to overvaluation of the minimum capital of interest rate risk.
【作者单位】：中央财经大学保险学院中国精算研究院;中国人寿保险股份有限公司;中央财经大学保险学院;
【基金】：教育部人文社会科学研究青年基金项目(15YJC790053) 北京市哲学社会科学重点项目(15ZDA47)
【分类号】：F842.3

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