本文選題：權(quán)益指數(shù)年金 + 參與率　； 參考：《安徽工程大學(xué)》2013年碩士論文

【摘要】：權(quán)益指數(shù)年金自從在美國(guó)市場(chǎng)上推出后,便迅速發(fā)展起來(lái)。權(quán)益指數(shù)年金作為一種指數(shù)型年金,本質(zhì)上是一種遞延年金,這類(lèi)年金保證最低收益,同時(shí)保證本金及以前的投資收益不受損失,并且在最低保證收益基礎(chǔ)上年金實(shí)際支付給保戶(hù)的收益率與預(yù)先規(guī)定好的某類(lèi)股指收益或債券指數(shù)相關(guān)聯(lián)。經(jīng)歷了約二十年的發(fā)展,權(quán)益指數(shù)年金在產(chǎn)品精算定價(jià)、風(fēng)險(xiǎn)管理等方面的應(yīng)用日趨重要起來(lái)。 考慮到隨著經(jīng)濟(jì)的快速增長(zhǎng)與醫(yī)療條件的不斷改善,死亡率急劇下降,這就直接導(dǎo)致了長(zhǎng)壽風(fēng)險(xiǎn)給保險(xiǎn)公司帶來(lái)了財(cái)務(wù)風(fēng)險(xiǎn)。長(zhǎng)壽風(fēng)險(xiǎn)是否能順利規(guī)避,核心在于對(duì)死亡率的預(yù)測(cè)以及基于長(zhǎng)壽風(fēng)險(xiǎn)的年金產(chǎn)品的定價(jià)上。 本論文基于權(quán)益指數(shù)年金的定價(jià)和長(zhǎng)壽風(fēng)險(xiǎn)下死亡率的預(yù)測(cè),分別討論了在死亡率帶跳情形下和不同群體間死亡率存在相關(guān)性的情形下的權(quán)益指數(shù)年金的定價(jià)研究。論文在對(duì)權(quán)益指數(shù)年金進(jìn)行定價(jià)的過(guò)程中,與以往處理考慮長(zhǎng)壽風(fēng)險(xiǎn)下權(quán)益指數(shù)年金定價(jià)的重點(diǎn)區(qū)別在于：先前相關(guān)學(xué)者定價(jià)的基礎(chǔ)假設(shè)就是死亡率是個(gè)常值或者服從某個(gè)連續(xù)時(shí)間過(guò)程,而本文則主要從兩方面考慮：一是假定死亡率服從一個(gè)帶跳過(guò)程,因?yàn)榈卣�、海嘯等突發(fā)事件的發(fā)生必然會(huì)對(duì)死亡率造成影響,而死亡率的變化也會(huì)直接影響到權(quán)益指數(shù)年金的定價(jià)；二是不同群體間的死亡率并非完全獨(dú)立的,而是存在某種程度的相關(guān)性。然后基于這兩種情況分別建立死亡率模型,同時(shí)在新模型下對(duì)影響均衡參與率的因子如保證利率和遞延期間等進(jìn)行了敏感性分析,并與基于經(jīng)典Lee-Carter模型下權(quán)益指數(shù)年金的定價(jià)進(jìn)行比較分析,得到新模型模型相對(duì)于經(jīng)典Lee-Carter模型而言,可以更加精確地反映死亡率對(duì)權(quán)益指數(shù)年金定價(jià)的影響。最后,給出了本文的結(jié)論與展望。
[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.
【學(xué)位授予單位】：安徽工程大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F840.3;F224

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本文編號(hào)：2073131