随机利率下的寿险责任准备金与风险分析  

Life insurance reserve and risk analysis with stochastic interest rates

作　　者：贾念念[1,2] 贾长青 

机构地区：[1]哈尔滨工业大学管理学院,黑龙江哈尔滨150001 [2]哈尔滨工程大学理学院,黑龙江哈尔滨150001

出　　处：《哈尔滨工程大学学报》2009年第8期962-966,共5页Journal of Harbin Engineering University

摘　　要：为了研究利率随机变化时,寿险公司如何准确提取责任准备金以及进行责任准备金风险分析,该文利用Gauss过程与Poisson过程对利息力积累函数进行了建模.在此基础上,构建了随机利率下的半连续型变额终身寿险保单的纯保费责任准备金模型,并给出了该寿险保单下的趸缴纯保费、责任准备金以及责任准备金未来损失方差的具体表达式.在死亡力均匀分布假设条件下将上述模型应用于具体保险实务,通过数值计算分析了模型中各个参数变化与责任准备金以及未来损失的关系,结果证实利率变化会对寿险责任准备金与损失方差产生较大影响,寿险公司必须对利率变化加以重视,所得结论符合寿险实践.In order to study how the insurance companies draw the reserve appropriately and analyze the risk of reserve with the stochastic interest rates, the interest force accumulation function was modeled with Gauss process and Poisson process. Based on this model, the net premium reserve model of semi - continuous changing whole Life insurance was built, and the expressions of single net premium, reserve and future loss variance of reserve were given. With the hypothesis of uniformly distributed mortality, the built model was applied to the specific insurance practice. By numerical computing, the relationships between reserve, future loss variance and model parameters were analyzed. It is proved that the changing of interest rates had great influence on the life insurance reserves and loss variance. The life insurance companies had to pay more attention to the changing of interest rates. The conclusion fits the life insurance practice well.

关 键 词：随机利率 趸缴纯保费 责任准备金 损失方差 

分 类 号：O211[理学—概率论与数理统计]