随机利率下的半连续型寿险责任准备金——基于单因子CIR模型  

Semi-continuous Life Insurance Liability Reserve under Random Interest Rate——Based on Single Factor CIR Model

作　　者：黄洪瑾 HUANG Hongjin

机构地区：[1]安徽财经大学

出　　处：《上海立信会计金融学院学报》2019年第4期85-97,共13页Journal of Shanghai Lixin University of Accounting and Finance

基　　金：安徽财经大学研究生科研创新基金项目“随机利率下的寿险准备金评估”（ACYC2018103）

摘　　要：随着我国利率市场逐步由行政管制转向市场化运行,寿险公司面领着越来越严峻的利率风险。寿险责任准备金是寿险公司一个重要的负债项,也是保险监管机构监管的一个重要指标,在利率市场化背景下如何合理计提责任准备金以应对利率风险是寿险公司需要考虑的重要问题。本文首先分析了利率波动对寿险准备金的影响,然后在传统寿险精算理论的基础上,将CIR模型引入到半连续型准备金的定价中,使用MCMC方法得出CIR模型的合理参数。最后给出一个实例,使用蒙特卡洛模拟法对半连续型寿险准备金进行数值模拟,对模拟出的数值进行统计分析,从而得出随机利率下半连续型寿险责任准备金的合理定价。As interest rate market gradually turns from administrative regulation to market-oriented operation,life insurance companies in China face more and more serious interest rate risks.Life insurance liability reserve is an important liability item of life insurance companies,and also an important indicator of the supervision of insurance regulators.Under the background of interest rate marketization,how to reasonably calculate the liability reserve to deal with interest rate risk is an important issue that life insurance companies need to consider.This paper first analyzes the influence of interest rate fluctuation on life insurance reserve,and then on the basis of traditional actuarial theory,CIR model is introduced into the pricing of semi-continuous reserve.The reasonable parameters of CIR model are obtained by MCMC method.Finally,an example is given to simulate semi-continuous life insurance reserve by Monte Carlo simulation method.By statistical analysis,the reasonable pricing of semi-continuous life insurance liability reserve under stochastic interest rate is obtained.

关 键 词：责任准备金 随机利率 CIR模型 蒙特卡洛模拟 

分 类 号：F840.62[经济管理—保险] F840.48