本文選題：權(quán)益指數(shù)年金 + 結(jié)構(gòu)轉(zhuǎn)換　； 參考：《重慶大學(xué)》2014年碩士論文

【摘要】：伴隨著全球的人口老齡化，我國人口預(yù)測表明，在未來幾十年內(nèi)，我國年齡結(jié)構(gòu)類型不僅將從成年型轉(zhuǎn)向老年型，，而且也將向高度老齡型發(fā)展。所以傳統(tǒng)的年金產(chǎn)品已經(jīng)不能滿足人們對高投資回報的需求，且未來的老齡化這個重大問題也需要找到一些方法去緩解。應(yīng)對該現(xiàn)狀，保險公司推出的權(quán)益指數(shù)年金介于定額年金與變額年金，是一種遞延年金，也是一種利率變動型年金產(chǎn)品。權(quán)益指數(shù)年金自推出以來受到普遍歡迎，其在最低保證收益基礎(chǔ)上，并與某類股票或債券指數(shù)收益相關(guān)聯(lián)。權(quán)益指數(shù)年金對那些懼怕市場風(fēng)險而又想從股市增長中獲取收益的人有很強的吸引力。同時保單持有人是以一定的比率參與股指的增長，這個比率即為參與率。所以確定合理的參與率，對年金產(chǎn)品的設(shè)計有重大影響。在本文中主要是在以Tiong給出的權(quán)益指數(shù)年金的定價公式，以及錢林義等的系列研究權(quán)益指數(shù)年金的定價問題基礎(chǔ)上在考慮多種因素時，Esscher變換下，簡單點對點法、年度重設(shè)法、高水檔回視法及平均法下的權(quán)益指數(shù)年金的定價等研究。 本論文結(jié)構(gòu)如下：第一部分主要介紹年金、權(quán)益指數(shù)年金及計算指數(shù)收益率的方法，并指出在我國老齡化對養(yǎng)老保險制度的影響，且作了國內(nèi)外對權(quán)益指數(shù)年金的相關(guān)研究綜述。第二部分主要講述了世界及我國金融市場上具有代表性的股票指數(shù)，介紹了隨機過程、風(fēng)險中性定理、B-S定價模型、等價鞅測度等相關(guān)預(yù)備知識，為后面的定價公式作了鋪墊。第三部分主要介紹在分?jǐn)?shù)布朗運動下，并考慮隨機死亡風(fēng)險，在結(jié)構(gòu)轉(zhuǎn)換的跳擴散風(fēng)險，利用簡單點對點法、年度重設(shè)法(Annual Reset)、高水檔回視法及平均法分別計算權(quán)益指數(shù)年金的指數(shù)收益率，并進行相應(yīng)方法下的定價。第四部分主要描述分別在以上四種常見的計算指數(shù)收益率的方法下，根據(jù)定價公式假定一些參數(shù)值，并分析其他幾個參數(shù)對均衡參與率的影響。第五部分主要是對權(quán)益指數(shù)年金的研究進行了總結(jié)和展望。
[Abstract]:With the aging of the global population, the population forecast of our country shows that in the next few decades, the age structure of our country will not only change from the adult type to the old type, but also develop to the high age type.Therefore, the traditional annuity products can not meet the demand of high investment return, and the major problem of future aging also needs to find some ways to alleviate.In response to this situation, the equity index annuity issued by insurance companies is between fixed annuity and variable annuity. It is a deferred annuity and a kind of interest rate fluctuating annuity product.Equity index annuity has been widely welcomed since its launch. It is based on the minimum guaranteed return and is associated with certain stock or bond index returns.Equity index annuities have a strong appeal to those who fear market risk and want to profit from stock market growth.At the same time, policy holders participate in the growth of the stock index by a certain ratio, which is the participation rate.Therefore, the determination of a reasonable participation rate has a significant impact on the design of annuity products.In this paper, on the basis of the pricing formula of equity index annuity given by Tiong and Qian Linyi's series of studies on the pricing problem of equity index annuity, under the consideration of many factors, the simple point-to-point method is used in this paper.Research on the pricing of equity index annuity under the method of high water return and average.The structure of this paper is as follows: the first part mainly introduces the annuity, the equity index annuity and the method of calculating the exponential rate of return, and points out the influence of aging on the pension insurance system in our country.It also summarizes the research on equity index annuity at home and abroad.The second part mainly describes the representative stock index in the world and our country's financial market, introduces the stochastic process, the risk neutral theorem, the B-S pricing model, the equivalent martingale measure and so on, and makes the foundation for the latter pricing formula.In the third part, considering the risk of random death, the jump diffusion risk in structural transformation is introduced, and the simple point-to-point method is used.The annual return rate of the equity index annuity is calculated by the method of high water file return and the average method, and the pricing is carried out under the corresponding method.The fourth part mainly describes the above four common methods of calculating the rate of return of the index, according to the pricing formula assume some parameter values, and analyze the other parameters on the equilibrium participation rate.The fifth part is the summary and prospect of equity index annuity.
【學(xué)位授予單位】：重慶大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F842.67;F224

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