传统寿险业务多风险情形下确定偿付能力额度的一类方法

发布时间：2018-05-16 15:50

本文选题：法定偿付能力额度 + 死亡风险　；参考：《复旦大学》2014年硕士论文

【摘要】：寿险业中的偿付能力是指寿险公司所应具备的履行其到期义务的能力,它是寿险公司实施风险控制重要依据和参照。评估偿付能力最为常用的指标是偿付能力额度,其不仅是寿险公司债务偿还能力的直观体现,更提供了比较不同寿险公司间财务安全状况的标准。在各国的寿险业风险监管体系中,偿付能力额度监管均占据举足轻重的地位。偿付能力额度确定的核心思想是一家寿险企业在任何时刻均应有充足的专项资金以因对各类意外风险,它的具体计算过程中一般需要对寿险公司所面临的各种风险进行综合考虑。本文以一个不定规模,需定期清算的资金账户为基础,在考虑死亡风险、退保风险的情况下,提出了一个可处理非单一风险暴露的偿付能力额度评估模型,证明其在一组较为宽松的条件下有解,给出其求解步骤并对其作出了进一步推广。相比大多相关研究中采用的将各风险影响分离讨论后再整合以求得多风险下偿付能力额度的方法,本模型另辟蹊径,在一定程度上更为准确和符合实际。最后本文通过构造保单实例的方法,将模型应用于对几类典型寿险业务的分析中,通过对模型在不同产品、不同风险下的表现进行对比,揭示了其对产品和风险的甄别与整合能力,并展现了其给出的偿付能力额度对于各种保单因素以及风险因素的敏感性。
[Abstract]:Solvency in life insurance industry refers to the ability of life insurance companies to fulfill their due obligations. It is an important basis and reference for life insurance companies to implement risk control. The most commonly used index to evaluate solvency is solvency quota, which is not only an intuitive embodiment of life insurance company's debt repayment ability, but also provides a standard to compare the financial security among different life insurance companies. Solvency regulation plays an important role in the risk supervision system of life insurance industry in various countries. The core idea in determining the solvency limit is that a life insurance company should have sufficient special funds at any time to be exposed to all kinds of unexpected risks. In the process of calculation, the risks faced by life insurance companies should be considered comprehensively. On the basis of a fund account with variable scale and need to be liquidated periodically, this paper presents a solvency assessment model which can deal with non-single risk exposure, considering the risk of death and withdrawal. It is proved that it has a solution under a set of looser conditions, and its solving steps are given and further generalized. Compared with the method used in most related studies to separate and discuss the risk effects and then integrate them to obtain the solvency amount under multiple risks, this model is more accurate and practical to some extent. Finally, this paper applies the model to the analysis of several typical life insurance business, and compares the performance of the model under different products and risks. It reveals its ability to discriminate and integrate products and risks, and shows the sensitivity of its solvency to various policy factors as well as risk factors.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F841

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