包含股票的金融资产组合中家户投资型寿险需求研究  

Household Investment Life Insurance Demand in the Portfolio of Financial Assets Including Stocks

作　　者：毕泗锋[1] 

机构地区：[1]山东财经大学金融学院,邮政编码250014

出　　处：《经济评论》2014年第4期136-147,共12页Economic Review

基　　金：山东省高等学校协同创新计划"金融产业优化与区域发展管理协同创新中心"项目"区域金融风险生成机制与管控体系构建--以山东为例"(项目编号:JR2013008);山东财经大学博士科研基金资助

摘　　要：在连续时间动态模型框架下,本文探究收益率随机波动的投资型寿险需求在包含股票的金融投资组合中的变化规律。模型假设投资型寿险保费分为寿险纯保费和投资性保费两部分,其中寿险纯保费关注基本死亡保障,而投资性保费关注财富增值。在一个包含无风险资产储蓄和风险资产股票的金融资产组合中,探究投资型寿险需求随时间变化的规律。股票与投资性保费均假定遵循一维几何布朗运动,两者相关但存在竞争关系。使用比较动态方法以及数值模拟方法,研究发现:初始财富、投资型寿险收益率对投资型寿险总需求有正向影响,而市场利率、风险厌恶系数等因子产生反向影响,死亡率影响效应不确定;投资型寿险与股票的相关性对投资型寿险需求产生显著影响。In the framework of continuous -time dynamic model, this paper looks into the demand rule of investment life insurance with stochastic returns in the portfolio of financial assets including stocks. The premium of investment life insurance is assumed to be divided into two parts： pure premium and investing premium. The former serves to cover the losses due to death and the latter aims to increase wealth. In a portfolio of financial assets, including both risk - free savings and risky stocks,, this paper examines the demand rule of investment life insurance over time. Both stocks and investing premium are assumed to obey the Brownian motion, and the two correlate and compete with each other. By using both Comparative Dynamic Method and Numerical Simulation Method, this paper finds out that initial wealth and the return of investment life insurance have a positive effect on the demand for investment life insurance, while market interest has a negative effect. The effect of mortal rate is unclear. The correlation coefficient between investment life insurance and stock has a dramatic effect on the demand for investment life insurance.

关 键 词：投资型寿险 金融资产组合 连续时间动态模型 

分 类 号：F224[经济管理—国民经济] F832.51