發(fā)布時(shí)間：2018-01-29 21:53

  本文關(guān)鍵詞： 分紅保險(xiǎn) 投資組合 鞅式期權(quán)定價(jià)方法 現(xiàn)金分紅　出處：《吉林大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：兼具保障與投資功能的分紅保險(xiǎn)自2000年在我國(guó)首次推出，就以其獨(dú)特的優(yōu)勢(shì)迅速占領(lǐng)市場(chǎng)。到2011年，分紅保險(xiǎn)在我國(guó)各大壽險(xiǎn)公司業(yè)務(wù)中的比重都超過(guò)了50%，在個(gè)別壽險(xiǎn)公司甚至超過(guò)90%。2011年上半年全國(guó)分紅保險(xiǎn)保費(fèi)收入占?jí)垭U(xiǎn)保費(fèi)收入的比重已經(jīng)達(dá)到91.6%。分紅保險(xiǎn)已經(jīng)成為各家保險(xiǎn)公司最主要的壽險(xiǎn)業(yè)務(wù)。 精算師在利用傳統(tǒng)的精算方法對(duì)分紅保險(xiǎn)合同進(jìn)行定價(jià)時(shí)，因?yàn)槠跈?quán)定價(jià)問(wèn)題的研究還沒(méi)有取得突破性進(jìn)展，所以無(wú)法對(duì)于分紅保險(xiǎn)中分紅權(quán)益的價(jià)值進(jìn)行認(rèn)定，于是回避這一問(wèn)題。通常采用假定利率、死亡率、費(fèi)率等滿足某些保守的假設(shè)條件，確定一個(gè)保險(xiǎn)合同的定價(jià)利率，進(jìn)而得到分紅保險(xiǎn)產(chǎn)品的價(jià)值。然而，隨著國(guó)際會(huì)計(jì)準(zhǔn)則在中國(guó)的實(shí)施，保監(jiān)會(huì)要求保險(xiǎn)公司提交其負(fù)債的市場(chǎng)公允價(jià)值，以達(dá)到國(guó)際會(huì)計(jì)準(zhǔn)則的要求。我國(guó)傳統(tǒng)的定價(jià)模型由于沒(méi)有給出保險(xiǎn)合同內(nèi)所包含的分紅權(quán)益的價(jià)值，，因而受到挑戰(zhàn)。而西方分紅保險(xiǎn)產(chǎn)品定價(jià)模型則針對(duì)保額分紅保險(xiǎn)提出，不能充分體現(xiàn)我國(guó)保險(xiǎn)市場(chǎng)的特點(diǎn)。因此，按照新會(huì)計(jì)準(zhǔn)則的要求，結(jié)合我國(guó)保險(xiǎn)市場(chǎng)投資組合及消費(fèi)者偏好現(xiàn)金分紅保險(xiǎn)的特點(diǎn)，建立起一個(gè)分紅保險(xiǎn)產(chǎn)品的定價(jià)模型，為保險(xiǎn)公司認(rèn)定負(fù)債的市場(chǎng)公允價(jià)值提供參考，是本文研究的目的。這一模型的建立對(duì)保險(xiǎn)公司建立科學(xué)的定價(jià)方法，有效的規(guī)避定價(jià)風(fēng)險(xiǎn)，促進(jìn)我國(guó)保險(xiǎn)市場(chǎng)的健康發(fā)展具有重要意義。 本文在闡述了分紅保險(xiǎn)基本理論的基礎(chǔ)上，結(jié)合我國(guó)保險(xiǎn)公司投資組合選擇的實(shí)際特點(diǎn)，即銀行存款、債券市場(chǎng)以及股票三種保險(xiǎn)公司最主要的投資方式，利用鞅式期權(quán)定價(jià)法對(duì)分紅保險(xiǎn)合同中內(nèi)嵌期權(quán)部分進(jìn)行定價(jià)。最后，利用得到的現(xiàn)金分紅保險(xiǎn)產(chǎn)品定價(jià)模型以及Matlab數(shù)值計(jì)算平臺(tái)，結(jié)合我國(guó)保險(xiǎn)市場(chǎng)實(shí)際數(shù)據(jù)，對(duì)分紅保險(xiǎn)產(chǎn)品的保單進(jìn)行了模型模擬和數(shù)據(jù)分析，以期望為我國(guó)分紅保險(xiǎn)的科學(xué)定價(jià)提供理論參考。
[Abstract]:Both security and function of investment insurance dividends for the first time since the 2000 launch in China, with its unique advantages quickly occupied the market. By 2011, the proportion of participating insurance in the insurance company of our country business in more than 50%, in the individual life insurance companies even more than 90%.2011 in the first half of the participating insurance premium income accounted for the proportion of life insurance premium income has reached 91.6%. insurance companies participating insurance has become a major life insurance business.
Actuarial pricing on dividends in the insurance contract using the traditional actuarial method, because of the option pricing problem is not a breakthrough, so not for dividends insurance equity value for the identification, so to avoid this problem. Usually used false rate, mortality rate, etc. to satisfy some conservative assumptions sure, a contract of insurance pricing interest rate, then get the bonus value of insurance products. However, with the implementation of the international accounting standards in China, CIRC, fair value requires insurance companies to submit their liabilities, to meet the requirements of international accounting standards in our country. The traditional pricing model because there is no insurance contract are included the Dividend Equity Value, thus being challenged. The pricing model of dividend insurance products for western insurance insured dividends proposed, can not fully reflect the I The characteristics of insurance market in China. Therefore, in accordance with the requirements of the new accounting standards, combined with the characteristics of China's insurance market portfolio and consumer preference of cash dividends insurance, establish a pricing model of dividend insurance products liability, the fair market value of the reference for the insurance company found that the purpose of the study is to establish this. To establish the model of scientific pricing method of insurance company, effectively avoid the price risk, is of great significance to promote the healthy development of China's insurance market.
This paper describes the basic theory of dividend insurance, combined with the actual characteristics of China's insurance company investment portfolio, namely bank deposits, bond market and stock three kinds of the most important insurance company investment, pricing of embedded option dividends insurance part of the contract by the martingale option pricing method. Finally, numerical computing platform the use of cash dividends insurance product pricing model and Matlab, combined with the actual data of China's insurance market, the dividend insurance products policy model is analyzed and simulation and data, in order to provide theoretical reference for the scientific pricing red insurance in China.

【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F842.629

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