一类随机利率下联合两全保险模型的理论研究与实例分析

发布时间：2018-06-20 09:21

本文选题：随机利率 + 两全保险　；参考：《延边大学》2015年硕士论文

【摘要】：随着我国利率市场化改革进程的不断推进以及利率波动频繁等原因,我国寿险公司的产品定价策略等理论和实践面临着新的课题和挑战.这是因为传统的精算理论通常假定利率都是确定的,所以寿险保单的预定利率一旦确定,在其生命周期内是不能变化的,但现实中由于寿险是长期性的经济行为,政府的行为、经济环境的变化等因素都会造成利率的波动.利率的变化会造成寿险保单预定利率和实际利率的偏高,对寿险公司产生重大的影响,因此随机利率下的寿险精算理论与方法的研究成为近年来研究的重点与热点问题.考虑到保费的实际投资情况和突发事件对利率的影响,本文首先通过原点反射Brown运动过程和Poisson过程对保险实务中的利息力随机性加以描述,其次在此基础上建立了一类由终身寿险、养老保险和储蓄还本部分所组成的可调整保险金额的家庭型联合保险双随机性模型,并给出了这类保险的年均衡保费的一般计算公式和死亡均匀分布(UDD)假设之下较简洁的年均衡保费计算公式,并用实例分析的过程验证了结论的合理性和实用性.这类保险模型对解决寿险公司合理收取保费、进行保险赔付和规避管理风险都具有重要理论意义和实际应用价值.
[Abstract]:With the development of interest rate marketization reform and the frequent fluctuation of interest rate, the theory and practice of product pricing strategy of life insurance companies in China are facing new problems and challenges. This is because the traditional actuarial theory usually assumes that the interest rate is fixed, so once the predetermined interest rate of the life insurance policy is determined, it will not change in its life cycle. But in reality, because life insurance is a long-term economic act, the government's behavior. Changes in the economic environment and other factors will cause fluctuations in interest rates. The change of interest rate will lead to the higher predefined and real interest rates of life insurance policies, which will have a great impact on life insurance companies. Therefore, the study of life insurance actuarial theory and methods under stochastic interest rate has become the focus and hot issue in recent years. Considering the actual investment of premium and the influence of unexpected events on interest rate, this paper firstly describes the randomness of interest force in insurance practice by reflecting the Brownian motion process and Poisson process of origin. Secondly, a double random model of family combined insurance is established, which is composed of life insurance, pension insurance and savings repayment. The general formula for calculating the annual equilibrium premium of this kind of insurance and the simple formula for calculating the annual equilibrium premium under the assumption of uniform distribution of death are given. The rationality and practicability of the conclusion are verified by an example analysis. This kind of insurance model has important theoretical significance and practical application value in solving the problem of reasonable collection of insurance premium, insurance indemnity and avoiding management risk of life insurance companies.
【学位授予单位】：延边大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F842.3;F224

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