發(fā)布時間：2018-04-13 14:41

  本文選題：壽險需求 + 投資型壽險��； 參考：《中南大學》2013年博士論文

【摘要】：壽險需求是保險經營實踐與理論研究的重要問題�，F代壽險業(yè)的一個顯著特點是投資型壽險占據絕對地位,因而,以往那種以保障型產品作為研究對象的壽險需求理論需要進行適時改進。本文對壽險需求進行研究,尤其將投資型壽險作為研究的重點,以期了解投資型壽險的需求規(guī)律。投資型壽險是指將保障功能與資金運用功能相結合的壽險產品,能夠給投資者帶來不確定的收益,包括分紅險、萬能險與投連險。因為投資型壽險同時具有保障與投資功能,其收益具有不確定性以及相關數據收集的困難,所以,投資型壽險需求的理論與實證文獻比較稀少,已有的個別文獻還有待完善。近十年來,投資型壽險產品的出現已經深刻的改變了壽險業(yè)的格局。目前,壽險業(yè)面臨增速放緩以及回歸保障型產品等諸多問題,因此,研究壽險需求尤其是投資型壽險的需求具有重要的理論與現實意義。 本文首先對壽險需求及相關概念進行界定,梳理投資型壽險的發(fā)展歷史,介紹其具體的品種,分析其特點；然后對壽險需求理論進行綜述,在此基礎上,對影響壽險需求的因素做出定性分析。接著對壽險需求建立理論模型。對于理論模型研究,本文遵循從簡單到復雜的原則,從金融資產組合視角出發(fā),在連續(xù)時間模型的框架內,首先建立一個保障型壽險的基礎模型,然后在此基礎上,進一步假設個體購買的是投資型壽險,對基礎模型進行拓展,建立投資型壽險需求的連續(xù)時間模型。 在理論分析的基礎上,本文對我國的壽險需求進行實證研究。首先,建立變參數的狀態(tài)空間模型,采用1999-2010年的季度數據,對影響壽險需求的主要經濟因素,如收入、利率及通貨膨脹與總壽險需求之間的關系,進行實證研究,以期了解在投資型險種所占比例的上升的情況下,壽險需求出現的變化。然后,本文采用2001-2010年的全國35個大中城市的投資型壽險的保費數據,對影響投資型壽險需求的因素和投資型壽險需求之間的關系建立動態(tài)面板模型進行實證檢驗。 基于以上思路與研究的內容,本文的創(chuàng)新主要有：(1)在現有文獻的基礎上,構造了新的雙隨機過程,建立了新的投資型壽險需求的理論模型,該模型求解簡便,結果簡單,其經濟意義十分明顯；(2)本文深入挖掘顯性解的經濟意義,得出了壽險的“莫森”定理,發(fā)現了保費-凈財富公式,并用它解釋了“年金之謎”；同時首次指出消費如何對壽險需求產生影響,得出保障型壽險與風險資產的“分離定理”；(3)本文對壽險需求的動態(tài)模擬分析結果,其經濟意義更明顯,和現實更接近；(4)首次運用狀態(tài)空間模型對我國壽險需求進行實證分析,對不同經濟環(huán)境下,人們壽險需求的變化有了新的認識；(5)首次運用動態(tài)面板數據模型對投資型壽險的需求進行實證分析,對影響投資型壽險的因素進行了檢驗,增加了對投資型壽險發(fā)展實際情況的了解。 基于以上研究,本文得出如下主要結論：(1)在保費精算公平的情況下,保障型壽險是凈財富的完全替代品,保費率是保障型壽險的邊際消費傾向；(2)預期收入、投資型壽險的回報率、股票波動率、風險厭惡參數以及死亡率對投資型壽險的需求影響為正,而投資型壽險的違約率、股票收益率、時間貼現因子對投資型壽險需求影響為負,現有的財富與保費率對投資型壽險的需求影響不明確,消費對投資型壽險的需求有重要影響；(3)利用狀態(tài)空間模型的實證研究表明：收入對壽險需求在不同的時期內影響程度不一樣,利率對壽險的影響和資本市場的發(fā)展相關,通脹對壽險需求的影響和壽險險種的構成及投資型壽險所占的比例有關。(4)利用動態(tài)面板數據模型的實證研究表明,居民收入提高,為對抗通脹,獲得資產的保值增值而購買投資型壽險是其快速增長的主要原因；股票對投資型壽險需求具有較強的替代作用；短期內消費者更關注投資型壽險的投資功能,長期內消費者會考慮其保障功能,但由于其投資功能較強,保障功能的影響并不顯著。
[Abstract]:The demand of life insurance is an important problem of theory and Practice Research on the management of insurance. One of the distinctive features of modern life insurance industry is the investment to occupy the absolute position, therefore, the past that to protect the type of product as the research object, the demand of life insurance theory need timely improvement. This paper focuses on the research of life insurance demand, especially investment life insurance as the research the key, in order to understand the law of demand. The investment life insurance investment oriented life insurance refers to insurance products will guarantee the function and the function of the combination of the use of funds, can give investors uncertain income, including red insurance, universal insurance and investment linked insurance. Because the investment life insurance also has safeguard and investment functions, the income is uncertain and difficult to collect relevant data, so the theoretical and empirical literature the demand for life insurance investment type scarce, individual literature remains to be perfect. Nearly ten For years, investment type insurance products has profoundly changed the pattern of the life insurance industry. At present, the life insurance industry is facing many problems, as well as the slowdown in the return of security products etc. Therefore, the demand for life insurance research especially has important theoretical and practical significance of investment life insurance demand.
This paper firstly defines the demand for life insurance and the related concept, development history of investment life insurance, introduces the specific varieties, analysis of its characteristics; and then summarizes the demand of life insurance theory, on this basis, make a qualitative analysis on the influencing factors of life insurance demand. Then establish the theoretical model of the theoretical model for the study of life insurance demand. In this paper, follow the principle of from simplicity to complexity, from the perspective of financial asset portfolio, in the framework of continuous time model, the basic model to first establish a life insurance protection, and then on this basis, further assumption that individuals are buying investment life insurance, the basic model is extended to the continuous time model of life insurance investment demand type.
On the basis of theoretical analysis, this paper makes an empirical study of life insurance demand in China. Firstly, establish the state space model of variable parameters, using quarterly data for 1999-2010 years, the main economic impact on life insurance demand factors, such as income, the relationship between interest rates and inflation and the total demand of life insurance, empirical research, in order to understand the investment type insurance proportion rising, the change of life insurance demand. Then, the investment life insurance premium data of 35 large and medium-sized city for 2001-2010 years. The empirical test on the relationship between the life insurance demand factors affecting the investment of life insurance demand and investment type to establish dynamic panel model.
The above ideas and research based on the content, the innovation of this paper are: (1) on the basis of existing literature, constructed two new stochastic process, establishes the theoretical model of investment life insurance demand of the new model, the solution is simple, the result is simple, its economic significance ten obvious; (2) this paper mining economic significance of the explicit solution, the life insurance "Mawson" theorem, found the net wealth premium formula, and use it to explain the "annuity puzzle"; at the same time, for the first time that how to affect the consumer demand for life insurance, the life insurance protection and risk assets "separation theorem"; (3) simulation in this paper, the dynamic analysis results of life insurance demand, the economic significance is more obvious, and more close to reality; (4) for the first time using the state space model empirical analysis on life insurance demand in China, the different economic environment changes, people have new demand for life insurance (5) for the first time, the dynamic panel data model is applied to analyze the demand of investment life insurance. The factors that affect the investment life insurance are tested, and the understanding of the actual development of investment life insurance is increased.
Based on the above research, the main conclusions of this paper are as follows: (1) in the premium actuarial fairness in the case of life insurance protection is completely substitute for net wealth, the premium rate is the guarantee of life insurance marginal consumption tendency; (2) the expected income, the rate of return on investment life insurance, stock volatility, demand risk aversion the parameters and mortality on the investment is positive, the default rate of investment type insurance, stock returns, affect the demand of life insurance investment type of time discount factor is negative, and the premium rate of existing wealth effect on life insurance investment type of demand is not clear, has an important influence on consumption investment life insurance demand; (3 An Empirical Study of) the state space model of use shows that income on life insurance demand in different period of influence is not the same, the development of interest rate impact on life insurance and capital market related to the impact of inflation on life insurance demand and life A life insurance and investment type insurance proportion. (4) an empirical study using dynamic panel data model show that the income of residents increased, for the fight against inflation, the value of the assets obtained and the purchase of investment life insurance is the main reason for the rapid growth of the stock; has strong substitution effect on the demand of life insurance investment in the short term; consumers pay more attention to investment oriented life insurance investment function, long term consumers will take into account the security function, but because of its investment function is strong, security function is not significant.

【學位授予單位】：中南大學
【學位級別】：博士
【學位授予年份】：2013
【分類號】：F224;F840.62

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