本文選題：變額年金　切入點：最低累積利益保證　出處：《湖南大學》2013年碩士論文　論文類型：學位論文

【摘要】：隨著中國人口老齡化、空巢化的加速發(fā)展，養(yǎng)老形勢日趨嚴峻。而目前我國社會養(yǎng)老保險制度存在著巨大的養(yǎng)老金缺口，市場急需商業(yè)養(yǎng)老保險的支持來緩解養(yǎng)老壓力。為豐富養(yǎng)老保險產(chǎn)品，調(diào)整保險市場結構，中國保監(jiān)會于2011年發(fā)布了《關于開展變額年金保險試點的通知》和《變額年金保險管理暫行辦法》，宣布開始進行變額年金試點。 變額年金是西方養(yǎng)老保險市場上的主流產(chǎn)品，，簡單來說，它是投資連結保險、最低利益保證及年金化支付的結合。本文所研究的最低累積利益保證，承諾在保險期末給付保單持有人的賬戶價值，不低于歷史最高保單賬戶價值的一定比例。在市場情況不佳時，最低累積利益保證可能會給保險公司帶來更大的損失，如何管控最低累積利益保證的風險成為發(fā)展這類產(chǎn)品首先需要考慮的問題。 本文首先描述了變額年金的發(fā)展歷程，對含有最低累積利益保證的變額年金進行了數(shù)字化演示。然后介紹了最低累積利益保證所面臨的主要風險及國外常見的風險應對手段。最后從保監(jiān)會認可的內(nèi)部組合對沖模式和固定乘數(shù)平衡模式切入，探討兩種管理模式的理論依據(jù)、操作過程及存在的優(yōu)缺點，并對固定乘數(shù)平衡模式進行了優(yōu)化。由于實際數(shù)據(jù)的缺乏，文中運用蒙特卡羅的方法進行模擬分析，考察了固定乘數(shù)平衡模式下投資乘數(shù)和內(nèi)部組合對沖模式下波動率的變動對保單賬戶價值的影響，并對不同市場狀況下三種風險管理模式的對沖效果進行了情景模擬。本文從定性和定量的角度分析了最低累積利益保證的風險管理模式，模擬結果較符合實際，希望能在保險公司選擇變額年金風險管理模式時起到參考作用。
[Abstract]:With the aging of China's population and the accelerated development of empty-nesting, the situation of providing for the aged is becoming more and more serious. However, at present, there is a huge pension gap in China's social endowment insurance system. The market urgently needs the support of commercial old-age insurance to ease the pressure on the aged. In order to enrich the products of old-age insurance and adjust the structure of the insurance market, In 2011, CIRC issued the notice on the pilot of variable annuity insurance and the interim measures for the management of variable annuity insurance, and announced the commencement of variable annuity pilot. Variable annuity is the mainstream product in the western endowment insurance market. In short, it is a combination of investment linked insurance, minimum interest guarantee and annuity payment. Promise to pay policy holder an account value at the end of the insurance period, not less than a certain percentage of the highest policy account value in history. In bad market conditions, the minimum cumulative interest guarantee may bring greater losses to the insurance company. How to manage the risk of minimum accrued interest guarantee becomes the first consideration in developing this kind of products. This paper first describes the development of variable annuity. This paper presents a digital demonstration of variable annuity with minimum cumulative interest guarantee. Then it introduces the main risks faced by minimum accumulated interest guarantee and the common risk coping methods abroad. Finally, it introduces the internal measures approved by the CIRC. The combination hedging model and the fixed multiplier equilibrium mode cut in, This paper discusses the theoretical basis, operation process, advantages and disadvantages of the two management modes, and optimizes the equilibrium mode of fixed multiplier. Due to the lack of actual data, the Monte Carlo method is used to simulate and analyze. In this paper, the effect of volatility variation on the value of policy account in the fixed multiplier equilibrium model and the internal portfolio hedging mode is investigated. The hedging effects of three risk management models under different market conditions are simulated. This paper analyzes the risk management model of the lowest cumulative interest guarantee from the qualitative and quantitative aspects, and the simulation results are in line with the reality. I hope to play a reference role in the insurance company to choose variable annuity risk management model.
【學位授予單位】：湖南大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F840.3;F830.9

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