变额年金业务的风险度量与分析  

Risk Measurement and Analysis of Variable Annuity

作　　者：李冰清[1] 廖朴[1] 

机构地区：[1]南开大学经济学院,天津300071

出　　处：《保险研究》2012年第4期56-62,共7页Insurance Studies

基　　金：中央高校基本科研业务费专项资金资助项目(NKZXB10044)成果

摘　　要：变额年金产品具有给付投保人最低保证收益率的特点,使资本市场下滑风险从投保人转移到保险公司,但是风险的大小尚不明确。本文建立资产随机模型并使用破产概率和尾部期望损失两个指标度量保险公司销售最低生存利益保证保险(GMLB)和最低身故利益保证保险(GMDB)承担的风险。结果表明最低保证收益率对GMLB的风险有显著影响,而对GMDB没有,在最低保证收益率既定的条件下保险公司投资于股票的份额对风险有显著影响。Variable annuity products have the characteristic of minimum guaranteed rate of return. Therefore it transferred the risk of market decline from policyholders to insurance companies, but the size of the risk is unclear. In this paper, based on the stochastic model for assets, we used shortfall probability and expected shortfall to meas- ure the risk of GMLB and GMDB. The results showed that the minimum guaranteed rate of return had significant im- pacts on the GMLB, but had no significant impacts on the GMDB. And for a given minimum guaranteed rate of re- turn, the proportion of assets invested in stocks would increase the risk of the insurance company.

关 键 词：变额年金 最低保证收益率 破产概率 尾部期望损失 

分 类 号：F840.4[经济管理—保险]