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本文在固定乘数平衡管理模式下讨论了最低生存保证给付保险(GMLB)和最低死亡保证给付保险(GMDB)两类变额年金的风险管理问题。结果表明,如果采用固定乘数平衡管理模式管理变额年金,适当的最低收益率保证不会带来风险,但当最低收益率超过一定水平时,变额年金业务必然破产。另外当变额年金业务有外部现金流时,保险公司可以综合衡量市场、收益和风险三个因素,决定资本回报率、外部现金流规模和保证收益率。
In this paper, we discuss the risk management of two types of variable annuities, the minimum guarantee of life insurance (GMLB) and the minimum death guarantee insurance (GMDB) under the fixed multiplier balance management mode. The results show that if fixed-variable balance management is used to manage the variable annuity, the appropriate minimum return guarantee will not bring the risk, but when the minimum return exceeds a certain level, the variable annuity business will inevitably go bankrupt. In addition, when the variable annuity business has external cash flow, the insurer can determine the return on capital, the scale of external cash flow and the guaranteed rate of return by comprehensively measuring the three factors of market, revenue and risk.