附保证收益结构型年金的风险计量研究  

Risk Measurement Studies of the Annuity Guaranteed Benefits

作　　者：王学金[1] WANG Xue-jin(Chuzhou University, Chuzhou, Anhui 239000, China)

机构地区：[1]滁州学院,安徽滁州239000

出　　处：《伊犁师范学院学报（自然科学版）》2018年第4期21-24,共4页Journal of Yili Normal University：Natural Science Edition

基　　金：安徽省教育厅一般项目(KJ2016B15);滁州市社科联项目(A2017006);国元证券横向课题(HX2017130)

摘　　要：首先对变额年金的相关研究进行了描述性分析;然后以附保证收益结构型年金中的最低满期利益保证年金(GMMB)为研究对象,通过风险价值法和尾部期望法分别对GMMB年金的风险计量进行研究,并给出2种方式下风险计量的显示解析式;最后,结合GMMB年金的研究结果,对其他附保证收益结构型年金的风险计量提出了未来的研究方向.This paper starts with a descriptive analysis of the current academic research on variable annuity,Then we take the GMMB as the research object to study the risk measurement by the method of value at risk and conditional tail expectation,and get the analytical expression under two ways.Finally,combined with the research results of GMMB annuity,the future research direction of risk measurement of other guaranteed income structured annuity is proposed.

关 键 词：最低满期利益保证年金 风险价值法 尾部期望法 风险计量 

分 类 号：O211.67[理学—概率论与数理统计]