金融市场突变对万能寿险定价及偿付能力的影响  

Pricing and Solvency Evaluation of Universal Life Insurance under the Sudden Change of Financial Market

作　　者：薛华[1,2] 郑海涛[1] 王钰琼 

机构地区：[1]北京航空航天大学经济管理学院,北京100191 [2]国家审计署,北京100830 [3]中融人寿保险公司,北京100033

出　　处：《金融研究》2015年第4期176-191,共16页Journal of Financial Research

基　　金：国家自然科学基金项目(70901003;71371021;71171009;71031001);北京市哲学社会科学规划项目(11JGC102;12JGC092)的资助

摘　　要：当金融市场突变时,万能寿险的内嵌期权价值会发生大幅度变化,寿险公司的负债和偿付能力也会随之发生变化,这可能引发寿险公司的定价不足风险和偿付能力危机。本文以一般跳跃-扩散模型刻画中国股票市场的市场突变现象,并以此为基础建立了内嵌最低保证利率期权和退保期权的万能寿险保费定价模型,探讨了当金融市场突变时均衡保费的变化以及内嵌期权价值的变化,分析了它对寿险公司实际资本和偿付能力充足率的影响,并把它们与市场正常时的情况进行了对比。结果表明,金融市场向上突变,极大增加了最低利率保证期权的价值,降低了退保期权价值,万能寿险的价值增加,导致偿付能力充足率上升;金融市场向下突变时结果相反。A sudden change of the financial market can cause two kinds of risks to an insurer, the mispriced risk and the insolvency risk because of having the embodied option in the universal life insurance. However, how the sudden change affects pricing of the universal life insurance？ How it affects solvency evaluation？ This paper uses the jump - diffusion model to describe the jump behavior of Chinese stock market, and calculates level premium of the universal life insurance which contains interest rate guarantees, surrender options, and mor- tality rate, and also establishes the solvency model. Then the paper compares level premium and values of these embodied options under the suddenly changed financial market to those under the normal market. The findings are as followed ： when the index of the financial market increases suddenly, the value of interest rate guarantees greatly rises, while the value of surrender option falls, besides the value of the universal life increases and insurer＇ s solvency adequacy ratio grows. These results are the opposite when the index of the financial market decreases suddenly.

关 键 词：金融市场突变 内嵌期权 万能寿险 偿付能力 跳跃-扩散过程 

分 类 号：F842.3[经济管理—保险] F832.5