本文選題：變額年金保險　切入點：Lee-Carter模型　出處：《安徽工程大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：2010年7月7日,變額保險產(chǎn)品作為一種創(chuàng)新性的新型保險產(chǎn)品便應(yīng)運而生,在國外發(fā)展很好的變額年金保險產(chǎn)品將正式引入中國。在這種背景下,對變額保險產(chǎn)品的一些深入的研究就具有十分重要的意義。鑒于近年來我國人口死亡率不斷改善,并伴隨經(jīng)濟(jì)快速的發(fā)展、衛(wèi)生環(huán)境水平的大幅提高,以及近年來生物基因科技的不斷進(jìn)步,未來人口死亡率仍可能呈現(xiàn)較大幅度的下降,屆時對變額年金產(chǎn)品的傳統(tǒng)定價模型的靜態(tài)假設(shè)將面臨更大的沖擊。因此本文主要對隨機(jī)死亡率的年額年金產(chǎn)品展開研究。 首先介紹了目前國內(nèi)外的研究現(xiàn)狀,對一般變額年金產(chǎn)品特征進(jìn)行了分析,接下來考慮了變額年金產(chǎn)品的風(fēng)險因素和新的年金產(chǎn)品設(shè)計,主要分為以下幾個方面： 第一,構(gòu)建死亡率預(yù)測模型,首先對經(jīng)典的Lee-Carter模型的參數(shù)求解進(jìn)行了改進(jìn),并將得到的結(jié)果和原Lee-Carter模型結(jié)果通過算例進(jìn)行了論證對比,通過分析得到改進(jìn)的Lee-carter模型對于經(jīng)驗死亡率的擬合具有更小的誤差,而且從三維圖上來看,改進(jìn)的模型擬合的殘差具有更好的隨機(jī)分布性和較小的絕對誤差。 第二,在隨機(jī)死亡率下分析了變額年金的長壽風(fēng)險并從保險公司的死差益、費差益和利益差三方面給出了具體的定量分析。 第三,從我國保險業(yè)一般應(yīng)對長壽風(fēng)險的路徑出發(fā),提出變額年金的死亡率指數(shù)因子,考慮隨機(jī)變量的波動因素,對預(yù)測的死亡率進(jìn)一步進(jìn)行了逼近處理,使死亡率指數(shù)因子更加合理,通過死亡率指數(shù)因子構(gòu)造一類死亡率指數(shù)年金,使其更好的應(yīng)對長壽風(fēng)險。 第四,進(jìn)一步考慮了兩類新的變額年金,既帶動態(tài)提款收益的一般變額年金和帶動態(tài)提款的權(quán)益指數(shù)年金,并給出了該類變額年金合約的定價公式的顯示表達(dá)式。 最后對文章進(jìn)行了總結(jié)和展望,希望通過借鑒國內(nèi)外的研究成果和自身的一些思考研究,為我國的變額年金產(chǎn)品的發(fā)展提供一定的參考。
[Abstract]:In July 7th 2010, as an innovative new type of insurance product, variable value insurance products will be introduced into China. Some in-depth studies on variable insurance products are of great significance. In view of the continuous improvement in the mortality rate of China's population in recent years and the rapid economic development, the level of the health environment has been greatly improved. And with recent advances in biomedical science and technology, the future mortality rate is likely to show a significant decline. At that time, the static assumption of the traditional pricing model of variable size annuity products will face a greater impact. Therefore, this paper mainly studies the annualized annuity products with random mortality. Firstly, this paper introduces the current research situation at home and abroad, analyzes the characteristics of general variable annuity products, and then considers the risk factors of variable annuity products and the design of new annuity products, which are mainly divided into the following aspects:. First, the mortality prediction model is constructed. Firstly, the parameter solution of the classical Lee-Carter model is improved, and the results obtained are compared with the results of the original Lee-Carter model through an example. The improved Lee-carter model has smaller error in empirical mortality fitting, and the residual error of the improved model has better random distribution and smaller absolute error. Secondly, the risk of longevity of variable annuity is analyzed under random mortality, and the quantitative analysis is given from three aspects: death benefit, cost difference and benefit difference. Thirdly, starting from the path of insurance industry in China to deal with the risk of longevity, the mortality index factor of variable annuity is put forward, and the fluctuating factors of random variables are considered, and the predicted mortality rate is further approximated. The mortality index factor is more reasonable and a kind of mortality index annuity is constructed through the mortality index factor to make it better deal with the risk of longevity. In 4th, two new types of variable annuity are considered, namely the general variable annuity with dynamic withdrawal income and the equity index annuity with dynamic withdrawal, and the expression of the pricing formula for this kind of variable annuity contract is given. Finally, the article is summarized and prospected, hoping to provide a certain reference for the development of variable annuity products in China by referring to the domestic and foreign research results and some of its own thinking and research.
【學(xué)位授予單位】：安徽工程大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F840.3;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前5條

1 余偉強(qiáng);;長壽風(fēng)險的證券化探索[J];復(fù)旦學(xué)報(自然科學(xué)版);2006年05期

2 杜鵑;;長壽風(fēng)險與年金保險研究[J];金融發(fā)展研究;2008年06期

3 田玲;向飛;;基于風(fēng)險定價框架的巨災(zāi)債券定價模型比較研究[J];武漢大學(xué)學(xué)報(哲學(xué)社會科學(xué)版);2006年02期

4 錢林義;汪榮明;廖靖宇;;考慮死亡風(fēng)險下權(quán)益指數(shù)年金的定價[J];應(yīng)用數(shù)學(xué)學(xué)報;2007年03期

5 侯長榮,余松林,陳心廣;一種新的預(yù)測人群死亡率方法的應(yīng)用[J];中國衛(wèi)生統(tǒng)計;2000年05期

，

本文編號：1557950