【作者】 赵亮；

【导师】 唐湘晋；

【作者基本信息】 武汉理工大学 ， 数量经济学， 2004， 硕士

【摘要】 寿险业是经营风险的行业，其风险如影随形。1996年以来，连续8次的降息，使我国寿险业的利差损问题变得格外突出，也使得寿险业的利率风险管理研究一时成为我国保险界关注的焦点。 本论文的研究对象是寿险定价的利率风险，即寿险保单的利差损风险。寿险利差损风险是指寿险资金实际收益率与保单预定利率之不利偏差引起的亏损的可能性。寿险利差损风险是威胁着寿险公司盈利能力和寿险经营稳定性的一大风险．国内许多学者及行业人士已经对寿险利差损风险从定性和定量角度进行了较为充分的研究。他们的研究方法大多沿袭传统的均值一方差分析方法，但将VaR技术运用到寿险定价的利率风险管理中还未尝见到． VaR(Valuc at Risk)或称风险价值法是近年来新出现的金融风险管理工具，是一种利用统计思想对金融风险进行估值的方法。在短短的过去几年中，VaR已受到越来越多的重视和得到广泛的应用，成为一种常用的市场风险度量技术。本文侧重引入VaR技术定量分析寿险定价的利率风险，并将其应用于产品设计、保单定价、保单利润现值及保单利源的分析上。由于中国寿险历史数据的限制，本文利用蒙特卡罗模拟技术(MCS)模拟寿险投资收益率的变化运动轨迹，并在已有的均值回复随机利率模型中，添加了泊松跳跃过程，以体现偶然因素对收益率运动轨迹的影响。在实证分析中，本文利用VaR模型，分析初始费率的合理性，从而有效控制寿险定价的利率风险。 本文首先对当前中国寿险业的利率风险状况进行了深入的剖析，指出了加强我国寿险业的利率风险管理的必要性，然后介绍了基本的精算定价方法，并对比分析了各种定价方法的优劣．接着论文全面介绍了VaR模型、VaR计算方法及其缺陷和弥补措施。第四部分是本文的重点，研究在随机利率下，VaR技术在寿险定价中的应用过程。论文最后探讨了寿险定价的利率风险防范策略。本文基于寿险产品自身的特点，从不同的方面提出了防范寿险定价利率风险的三点策略：非固定信用利率保单的设计、利差损风险成本的考虑以及寿险产品的创新．本论文的研究侧重于方法和技术的理论性探讨。笔者希望本文的研究能够对我国寿险经营实务做出一点贡献。更多还原

【Abstract】 Life insurance is a kind of industry which deals in risks, so risks have string along with life insurance since it was born. IRR(Interest Rate Risk)of China’s life insurance goes more outstanding because of a sequence of lowering interest rate in China since 1996.What the thesis studies is IRR of life insurance pricing, namely, Interest Spread Risk. Interest Spread Risk of life insurance is defined as the loss probability resulting from unfavorable variation of real investment return rate of life insurance capital from policy ordered fixed credit interest rate. Interest Spread Risk, which is one of important risks which life insurance is faced to, strongly threatens the solvency and working stabilization of life insurance. There are many experts and life insurance workers studying on Interest Spread Risk from qualitative or quantitative ways by the mean-variance method, but writer has not yet found who analyzes Interest Spread Risk by VaR technique.VaR (Value at Risk) is a newly appeared financial risk management tool in recent years, which is a method that uses statistic thought to evaluate the financial risk. In the past several years, VaR has been more and more valuable with the extensive application, becoming a kind of technique to measure market risk in common use. This thesis lays emphasis on quantitative analyzing of Interest Spread Risk, policy pricing, policy design and present value of policy profits by VaR technique. In the empirical analysis, this study uses VaR model to analyze initial premium and control IRR of China’s life insurance.At first this thesis points out that it is necessary to enhance the management of the IRR of China’s life insurance by analyzing the IRR of China’s life insurance industry. Then the thesis introduces basic methods of life insurance pricing and VaR model. The fourth section is the core of this thesis. Writer demonstrates the procedure of policy pricing by VaR technique. This thesis figures out VaR of profit objectives by Monte Carlo Simulation, which uses jump-diffusion stochastic model with the mean reverting process to simulate interest rate movement. At last, the thesis discusses some measures of guardingagainst the IRR of life insurance pricing. There are three main measures which are based upon characters of life insurance products in the thesis: the policy with unfixed credit interest rate, calculating risk cost of Interest Spread Risk in policy pricing, renovating life insurance products. This thesis pays more attention on theoretical study in method and technology. Writer hopes the thesis can dedicate to life insurance practical operation in our country.更多还原