保单持有人行为对变额年金利益保证风险对冲的影响研究

发布时间：2019-07-06 10:59

【摘要】：我国已经成为世界上人口老龄化速度最快和老龄人口最多的国家,养老的压力空前巨大，大部分城镇居民的养老问题亟待解决，市场呼唤商业养老保险来填补空缺。为了促进养老年金类产品的发展，满足保险消费者的真实需求，2011年5月，中国保监会先后发布了《关于开展变额年金保险试点的通知》和《变额年金保险管理暂行办法》，并正式在北京、上海等五地启动变额年金保险的试点工作。变额年金是一款充满争议且风险较大的产品，在金融危机中受到了较大冲击，不少国际知名保险公司曾因其陷入严重财务亏损中。在引入变额年金的同时如何合理控制其风险是各大保险公司首要考虑的问题。而对于变额年金来说，保单持有人行为更是保险公司面临的一大关键风险。因此，保单持有人行为对变额年金风险对冲的影响值得本文进行研究。本文首先简要介绍了变额年金和本文研究的三种最低利益保证（最低身故利益保证、最低满期利益保证、最低提取利益保证）的定义和特点，并对含有最低利益保证的变额年金的具体运作过程进行了数字化的演示。然后对最低利益保证的风险因素进行了分析，并介绍了几种常见的风险管理方法，并重点介绍了保单持有人行为及其影响。最后给出了保单持有人行为影响下的定价模型和对冲模型，由于缺乏现实数据，本文运用蒙特卡罗模拟的方法进行数值分析，考察了保单持有人分别采取无退保、固定退保、动态退保三种行为策略时，，其分别对包含最低身故利益保证、最低满期利益保证和最低提取利益保证的变额年金风险对冲的影响。本文从定性和定量的角度分析了保单持有人行为的影响，模拟结果比较符合实际，希望能为保险公司在实际运作过程中提供一些参考。
[Abstract]:China has become the country with the fastest aging rate and the largest aging population in the world. The pressure of providing for the aged is unprecedented. The pension problem of most urban residents needs to be solved urgently. The market calls for commercial old-age insurance to fill the vacancy. In order to promote the development of pension products and meet the real needs of insurance consumers, in May 2011, the CIRC issued the Circular on the pilot implementation of variable annuity Insurance and the interim measures for the Administration of variable annuity Insurance, and officially launched the pilot work of variable annuity insurance in Beijing, Shanghai and other five places. Variable annuity is a controversial and risky product, which has been greatly impacted in the financial crisis. Many internationally renowned insurance companies have fallen into serious financial losses because of it. How to control the risk reasonably while introducing variable annuity is the primary consideration of major insurance companies. For variable annuity, the behavior of policy holders is a key risk faced by insurance companies. Therefore, the influence of policy holder behavior on variable annuity risk hedge is worth studying in this paper. This paper first briefly introduces the definition and characteristics of variable annuity and the three kinds of minimum interest guarantee (minimum dead interest guarantee, minimum maturity interest guarantee, minimum extracted interest guarantee) studied in this paper, and makes a digital demonstration of the concrete operation process of variable annuity with minimum interest guarantee. Then the risk factors of minimum interest guarantee are analyzed, and several common risk management methods are introduced, with emphasis on the behavior of policy holders and their influence. Finally, the pricing model and hedge model under the influence of policy holder behavior are given. due to the lack of realistic data, this paper uses Monte Carlo simulation method to carry on the numerical analysis, and investigates that when the policy holder adopts three kinds of behavior strategies: no return insurance, fixed return insurance and dynamic policy withdrawal, they guarantee the minimum death interest respectively. The impact of variable annuity risk hedge between minimum maturity interest guarantee and minimum withdrawal interest guarantee. This paper analyzes the influence of policy holder behavior qualitatively and quantitatively, and the simulation results are in line with the reality, hoping to provide some references for insurance companies in the actual operation process.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F842.3

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