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自2010年中国保监会允许国内试点变额年金市场之后,国内还没有相关文章对内部组合对冲模式下变额年金产品在精算领域面临的问题做出系统的阐述,本文在这方面给出了一套方法并结合实际进行了验证。通过经济情景发生器产生合理的经济情景,并基于假设的保单数据分析变额年金保证利益的合理定价区间;然后深入地讨论了动态对冲过程中各环节的设计并对结果进行分析,结果表明动态对冲可以显著降低各期损益以及累积损益的波动性;最后对变额年金的准备金和资本计算进行了国际比较,并给出了反映对冲与不反映对冲情况下的结果比较。
Since the CIRC approved the pilot reform of the pension market in China in 2010, there are no articles in the country that systematically elaborate the problems that the variable-sized pension products face in the actuarial field under the internal combination hedging mode. This article provides a set of The method and the actual verification. Through the economic scenario generator to generate a reasonable economic scenario, and based on the hypothetical policy data to analyze the variable pricing annuity guaranteed interest reasonable pricing interval; and then discussed in depth the dynamic hedging process design and analysis of the results, the results show that the dynamic Hedging can significantly reduce the volatility of the profits and losses of each period and the cumulative gains and losses; Finally, an international comparison of the reserves and capital calculation of variable annuities is made and a comparison of the results between hedging and non-hedging events is given.