随机利率下半连续型寿险产品定价分析  

Pricing Analysis of Semi-continuous Life Insurance Products under Stochastic Interest Rate

作　　者：刘文文 文忠桥[1] LIU Wenwen;WEN Zhongqiao

机构地区：[1]安徽财经大学金融学院,安徽蚌埠233030

出　　处：《上海立信会计金融学院学报》2020年第1期73-83,共11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“随机利率下寿险公司的经营风险分析”(ACYC2018102)。

摘　　要：寿险公司对寿险产品进行准确定价可以减少负债压力,还可以提高寿险公司的偿付能力。文章分析随机利率对寿险产品年缴纯保费和责任准备金定价的影响,运用GMM方法对Vasicek模型进行参数估计和检验,并使用该模型模拟随机利率。通过一个特定的实例假设,利用Monte Carlo方法对随机利率下半连续型终身寿险的年缴纯保费和责任准备金进行模拟,并与固定利率下的进行对比,为寿险公司在利率变动下的合理定价和风险管控提供依据。Accurate pricing of life insurance products can not only reduce the pressure of liabilities but also improve the solvency of life insurance companies.The authors analyze the influence of the stochastic interest rate on the pricing of annual net premium and liability reserve of life insurance products.They use the GMM method to estimate and test the parameters of the Vasicek model and utilizes the model to simulate the random interest rate.In a specific case,the annual net premium and liability reserve of semi-continuous life insurance is simulated by the Monte Carlo method under random interest rate and is compared with those under fixed interest rate.The result provides the reference for the reasonable pricing and risk control of life insurance companies under the change of interest rate.

关 键 词：VASICEK模型 蒙特卡洛模拟 责任准备金 

分 类 号：F840.622[经济管理—保险]