“以房养老”模式的定价模型及其精算分析  

Pricing Model and Actuarial Analysis of "Houses-for-Pension"

作　　者：李玉水[1] 韩雅清 LI Yushui;HAN Yaqing(College of Finance,Fujian Jiangxia University,Fuzhou Fujian 350108,China)

机构地区：[1]福建江夏学院金融学院

出　　处：《莆田学院学报》2019年第6期49-55,共7页Journal of putian University

基　　金：福建省社会科学规划项目一般项目(FJ2018B091)

摘　　要：以无追索权“以房养老”产品为研究对象,根据产品的主要保险责任,采用原点反射布朗运动与Poisson过程构成的随机利率,利用Copula函数来刻画夫妻间相依关系,构建出随机利率下单生命、双生命下的“以房养老”精算模型。通过敏感性分析发现,“以房养老”模式具有较强的利率和房价增长率的敏感性,死亡率、双生命间相依度也是“以房养老”定价不可忽视的影响因素,“以房养老”模式对相关参数的敏感性随着被保险人性别、投保年龄的不同而不同。The non-recourse"houses-for-pension"product is taken as the research object.According to the main insurance liability of the product,the random interest rate composed of origin reflection Brownian motion and Poisson process is used to describe the interdependence between husband and wife by Copula function,and construct an actuarial model of"houses-for-pension"under single life and double life with random interest rate.Through sensitivity analysis,it is found that the"houses-for-pension"model has strong sensitivity to interest rate and housing price growth rate.Mortality rate and the interdependence between two lives are also factors that can not be ignored in the pricing of"houses-for-pension".The sensitivity of the"houses-for-pension"model to relevant parameters varies with the gender of the insured and the age of the insured.

关 键 词：以房养老 定价模型 随机利率 单生命 双生命 

分 类 号：F299.23[经济管理—国民经济] F842.612