本文選題：倒向隨機(jī)微分方程　切入點(diǎn)：壽險(xiǎn)定價(jià)　出處：《山東科技大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：保險(xiǎn)對(duì)國(guó)民經(jīng)濟(jì)的發(fā)展有著巨大的潛在作用,它不僅對(duì)社會(huì)起到多方面的保障與風(fēng)險(xiǎn)防范作用,最為重要的是,巨額的保險(xiǎn)資金一方面對(duì)社會(huì)的經(jīng)濟(jì)損失發(fā)揮著巨大的補(bǔ)償作用,另一方面也通過(guò)投資的方式對(duì)總體經(jīng)濟(jì)的發(fā)展起著巨大的拉動(dòng)作用。壽險(xiǎn)公司得以生存和發(fā)展的關(guān)鍵是如何對(duì)壽險(xiǎn)產(chǎn)品進(jìn)行合理定價(jià),壽險(xiǎn)資金的運(yùn)用不僅限于銀行存款,也開(kāi)始投資于一些金融產(chǎn)品,壽險(xiǎn)公司為了提高自身的競(jìng)爭(zhēng)力,正將運(yùn)營(yíng)模式由“承保獲利”轉(zhuǎn)向“運(yùn)營(yíng)獲利”,因此如何準(zhǔn)確合理地收取保費(fèi)以及如何對(duì)保費(fèi)進(jìn)行合理地投資運(yùn)用成為壽險(xiǎn)業(yè)發(fā)展的重要問(wèn)題。除此之外,壽險(xiǎn)的定價(jià)問(wèn)題與一般商品的定價(jià)也有一定的差別,壽險(xiǎn)定價(jià)除了需要考慮市場(chǎng)需求外,還需要考慮收取的保費(fèi)在保單期末要滿足公司的營(yíng)業(yè)利潤(rùn)以及賠付支出。因此對(duì)壽險(xiǎn)定價(jià)理論進(jìn)行深入研究,厘定公平合理的保費(fèi)對(duì)壽險(xiǎn)業(yè)的健康穩(wěn)定發(fā)展具有重要的意義。本文運(yùn)用倒向隨機(jī)微分方程理論,考慮保險(xiǎn)人及投保人對(duì)可投資資金的運(yùn)用情況,將投保人和保險(xiǎn)人置于同一系統(tǒng)中進(jìn)行考慮,建立基于個(gè)體公平原則的壽險(xiǎn)定價(jià)模型,主要工作如下:(1)運(yùn)用倒向隨機(jī)微分方程理論,根據(jù)投保人和保險(xiǎn)人各自的投資決策目標(biāo)分別闡述無(wú)套利壽險(xiǎn)定價(jià)模型和資產(chǎn)份額定價(jià)模型;(2)根據(jù)一類特殊線性倒向隨機(jī)微分方程的顯示解,得出投保人和保險(xiǎn)人各自的壽險(xiǎn)定價(jià)公式及期初的投資策略,確定個(gè)體公平壽險(xiǎn)定價(jià)條件;(3)對(duì)影響壽險(xiǎn)定價(jià)的死亡率因素進(jìn)行分析,運(yùn)用L-C模型對(duì)我國(guó)不同年齡及不同性別的人口死亡率進(jìn)行預(yù)測(cè)估計(jì);(4)實(shí)證分析,對(duì)實(shí)證結(jié)果進(jìn)行分析并提出相應(yīng)的政策建議。通過(guò)分析研究可以發(fā)現(xiàn),基于投資的壽險(xiǎn)定價(jià)模型得出的保費(fèi),不僅考慮了壽險(xiǎn)公司的預(yù)期收益情況,而且給出了壽險(xiǎn)公司期初的最優(yōu)投資策略,以此定價(jià)方法開(kāi)發(fā)出的壽險(xiǎn)產(chǎn)品更能適應(yīng)競(jìng)爭(zhēng)日益激烈的壽險(xiǎn)市場(chǎng)。
[Abstract]:Insurance has a great potential role in the development of national economy. It not only plays a role of protection and risk prevention in many aspects of society, but also, most importantly, On the one hand, the huge amount of insurance funds plays a huge role in compensating the economic losses of the society. On the other hand, it also plays an important role in the overall economic development through investment. The key to the survival and development of life insurance companies is how to price life insurance products reasonably, and the use of life insurance funds is not limited to bank deposits. Also beginning to invest in some financial products, life insurance companies in order to improve their competitiveness, The mode of operation is changing from "underwriting profit" to "operating profit". Therefore, how to collect the premium accurately and reasonably and how to make reasonable investment and utilization of the premium becomes an important problem in the development of the life insurance industry. The pricing problem of life insurance is also different from that of general commodities. In addition to considering market demand, life insurance pricing needs to be taken into account. We also need to consider the premium collected at the end of the policy period to meet the company's operating profits and expenses. It is of great significance to determine a fair and reasonable premium for the healthy and stable development of the life insurance industry. This paper applies the theory of backward stochastic differential equation to consider the use of investable funds by insurers and policy holders. The policy-holder and insurer are considered in the same system, and the life insurance pricing model based on the principle of individual equity is established. The main work is as follows: 1) applying the theory of backward stochastic differential equation. According to the policy holder and the insurer's respective investment decision goal, respectively expound the no-arbitrage life insurance pricing model and the asset share pricing model / 2) according to a kind of special linear backward stochastic differential equation, This paper obtains the life insurance pricing formula and the investment strategy of the policy holder and the insurer respectively, and determines the individual fair life insurance pricing conditions. (3) analyzes the mortality factors that affect the life insurance pricing. An empirical analysis of the population mortality rate of different ages and different genders is carried out by using the L-C model. The empirical results are analyzed and corresponding policy recommendations are put forward. Through the analysis and study, it can be found that, The premium obtained from the investment-based life insurance pricing model not only considers the expected income of the life insurance company, but also gives the optimal investment strategy of the life insurance company at the beginning of the period. The life insurance products developed by this pricing method are more suitable for the increasingly competitive life insurance market.
【學(xué)位授予單位】：山東科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F842.62

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 王志剛;王曉軍;張學(xué)斌;;Lee-Carter模型的理論分布和區(qū)間預(yù)測(cè)[J];數(shù)理統(tǒng)計(jì)與管理;2016年03期

2 吳曉坤;王曉軍;;中國(guó)人口死亡率Lee-Carter模型的再抽樣估計(jì)、預(yù)測(cè)與應(yīng)用[J];中國(guó)人口科學(xué);2014年04期

3 孫艷;牛金陽(yáng);;基于倒向隨機(jī)微分方程的非壽險(xiǎn)定價(jià)實(shí)證研究——以廣東財(cái)產(chǎn)險(xiǎn)為例[J];金融經(jīng)濟(jì);2014年06期

4 柳向東;寇璐;;帶Poisson跳的無(wú)套利模型下的壽險(xiǎn)定價(jià)分析[J];暨南大學(xué)學(xué)報(bào)(自然科學(xué)與醫(yī)學(xué)版);2012年05期

5 王曉軍;任文東;;有限數(shù)據(jù)下Lee-Carter模型在人口死亡率預(yù)測(cè)中的應(yīng)用[J];統(tǒng)計(jì)研究;2012年06期

6 鄭鸕捷;;基于投資的我國(guó)再保險(xiǎn)預(yù)測(cè)性定價(jià)新探討[J];經(jīng)濟(jì)數(shù)學(xué);2012年01期

7 鄭鸕捷;;中國(guó)保險(xiǎn)市場(chǎng)與投資市場(chǎng)的互動(dòng)研究:定價(jià)方法與實(shí)證[J];特區(qū)經(jīng)濟(jì);2012年01期

8 張春海;鄭莉莉;;我國(guó)商業(yè)銀行存款保險(xiǎn)期權(quán)定價(jià)的實(shí)證研究——基于Merton、Rv和Garch模型的比較與分析[J];科學(xué)決策;2011年05期

9 王曉軍;黃順林;;中國(guó)人口死亡率隨機(jī)預(yù)測(cè)模型的比較與選擇[J];人口與經(jīng)濟(jì);2011年01期

10 李蘇娟;李偉華;;財(cái)產(chǎn)保險(xiǎn)定價(jià)的新思維—期權(quán)定價(jià)[J];保險(xiǎn)職業(yè)學(xué)院學(xué)報(bào);2010年04期

相關(guān)碩士學(xué)位論文 前7條

1 陳迅;關(guān)于我國(guó)存款保險(xiǎn)合理定價(jià)的研究[D];西南財(cái)經(jīng)大學(xué);2013年

2 李雪芳;倒向隨機(jī)微分方程模型下變額壽險(xiǎn)的定價(jià)研究[D];暨南大學(xué);2012年

3 展雷艷;基于B-S期權(quán)模型的我國(guó)上市銀行存款保險(xiǎn)定價(jià)研究[D];重慶大學(xué);2010年

4 陳效中;存款保險(xiǎn)定價(jià)研究[D];山東大學(xué);2008年

5 朱斌;存款保險(xiǎn)定價(jià)研究及對(duì)我國(guó)的借鑒[D];東北財(cái)經(jīng)大學(xué);2007年

6 陳佳;倒向隨機(jī)微分方程在保險(xiǎn)業(yè)定價(jià)問(wèn)題中的應(yīng)用[D];北方工業(yè)大學(xué);2007年

7 崔嵬;倒向隨機(jī)微分方程理論下的保險(xiǎn)投資定價(jià)研究[D];天津大學(xué);2007年

，

本文編號(hào)：1623950