本文關(guān)鍵詞： 分紅保險 躉交保費 Vasicek利率模型 分紅儲備 風(fēng)險中性概率測度　出處：《南京財經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：分紅保險是這樣一種保險,即保險公司承諾在每個保險的年度內(nèi),在確保被保險人能夠收到固定收益的前提下,并且是根據(jù)保險公司自身的經(jīng)營狀況,將保險公司的投資收益分配給被保險人。所以分紅保險是兼具保障功能和投資功能的險種,受到人們的歡迎。尤其是2009年金融危機之后,人們認(rèn)識到分紅保險抵御通貨膨脹和利率波動的功能,因此分紅保險在國內(nèi)掀起了熱潮。分紅保險的期初躉交保費通常為被保險人的身故給付金和各期分配的投資收益的現(xiàn)值之和。一般來說分紅保險根據(jù)紅利的分配方式的不同可以分成兩種,即現(xiàn)金紅利和保額紅利�，F(xiàn)金紅利就是保險公司分配紅利給被保險人是以現(xiàn)金的方式；保額紅利就是保險公司分配給被保險人的紅利不是以現(xiàn)金方式,而是增加保單持有人的額外保險保障。本文只考慮基于現(xiàn)金分紅下的分紅保險產(chǎn)品的定價問題。本文首先探討了我國分紅保險的投資狀況,然后再引用隨機過程的一些理論知識。建立投資組合收益模型,其中利用Vasicek模型得到國債收益的微分方程,利用CEV模型(即常數(shù)方差彈性模型)得到證券市場收益的微分方程。設(shè)定投資比例,組建投資組合收益模型,進(jìn)而得到投資組合年收益。根據(jù)以上得出的投資組合模型,在只考慮現(xiàn)金分紅的情況下,利用金融經(jīng)濟(jì)學(xué)風(fēng)險定價原理,在隨機利率、死亡完全分散的情況下,建立分紅特別儲備賬戶,計算分紅保險躉交純保費的價值,并且與傳統(tǒng)壽險定價公式相比較,得出分紅特備儲備賬戶下紅利分配方式的價值。此外,本文還進(jìn)行了敏感性分析,主要分析了投資比例變動、分紅比例變動、合同期限變動、被保險人年齡變動以及在雙倍兩全保險下到期給付、死亡給付成比例下對分紅保險躉交純保費和該種分配方式下紅利分配價值的影響。以期對壽險公司分紅產(chǎn)品定價和風(fēng)險控制提供一定的參考。
[Abstract]:Share out bonus insurance is such kind of insurance, namely insurance company promises in each insurance year, under the premise that ensures insurant can receive fixed income, and is according to insurance company's own management condition. Distribution of the investment income of insurance companies to the insured. So dividend insurance is a kind of insurance with both the function of protection and investment, which is welcomed by people, especially after the financial crisis in 2009. People realize the function of dividend insurance against inflation and interest rate fluctuation. The beginning of bonus insurance is usually the sum of the present value of the insurant's death payment and the investment income allocated in each period. Generally speaking, dividend insurance is based on the distribution of dividends. Different ways can be divided into two types. Namely the cash dividend and the insured amount dividend. The cash dividend is the way that the insurance company distributes the dividend to the insured; The dividend of insurance amount is the dividend that insurance company distributes to insurant is not with cash form. This paper only considers the pricing of dividend insurance products based on cash dividend. Firstly, this paper discusses the investment situation of China's dividend insurance. Then some theoretical knowledge of stochastic process is used to establish a portfolio return model in which the Vasicek model is used to obtain the differential equation of bond yield. By using CEV model (constant variance elasticity model), the differential equation of stock market income is obtained. The investment ratio is set up and the portfolio return model is established. According to the portfolio model, considering only the cash dividend, using the risk pricing principle of financial economics, in the case of random interest rate, death is completely dispersed. Set up special reserve account of dividend, calculate the value of net premium paid by dividend insurance, and compare with the traditional life insurance pricing formula, get the value of dividend distribution under special reserve account. This paper also carries on the sensitivity analysis, mainly analyzes the investment proportion change, the dividend proportion change, the contract term change, the insured age change and under the double double full insurance due payment. The effect of death payment in proportion on the net premium of dividend insurance and the value of dividend distribution in this way is expected to provide a certain reference for the pricing and risk control of life insurance company dividend products.
【學(xué)位授予單位】：南京財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F842.6;F224

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本文編號：1484830