隨機(jī)收益率模型下投連險(xiǎn)最低保證給付的風(fēng)險(xiǎn)研究.pdf

1、湖南大學(xué)碩士學(xué)位論文隨機(jī)收益率模型下投連險(xiǎn)最低保證給付的風(fēng)險(xiǎn)研究姓名：李盼申請(qǐng)學(xué)位級(jí)別：碩士專(zhuān)業(yè)：金融學(xué)指導(dǎo)教師：盧仿先20060920竺墊堅(jiān)苧莖矍莖三絲圣璧量堡堡垂竺絲竺墨墼至塞AbstractSincethefirstunitlinkedinsurancewasdevelopedbyPing’aninsurancecompanyinChinawiththeinsurancemarketinChinadevelopingquickly

2、theunitlinkedinsurancehasbeenverypopularThemostimportantfeatureoftheunitlinkedinsuranceiStheseparateaccountTheriskofinvestmentmovesfromtheinsurertotheinsuredButwemustknowthattherearesomeinvestmentguaranteesintheunitlinke

3、dinsurance，theinvestmentguaranteesmadetheinsurerbeinfrontoftheriskWhentheenvironmentchanges，theremaybesomebadimpactsontheinsurancecompany。Thethesisinvestigatestheinsurancecompany’Sriskoftheinvestmentguaranteesanddevelops

4、theratemodeloftheinvestmentaccountThismethodcanestimatetheinvestmentrateinthefiaturemorepreciselyThethesisUSeSthemethodofrandomsimulationtoevaluatetheriskoftheinvestmentguaranteesThethesiscontrastsandanalyzesfourratemode

5、lsandchoosestheARCHmodeltosimulatetheinvestmentrateofthecapitalmarketinChinaThenthethesischoosesaunit1inkedinsurancecontracttododemonstrationstudyandgetstheresultandthedistributionofthepresentvalueofcontingentliabilityof

6、theGMDB，thenanalyzesthefactorswhichmayhaveinfluencesontheresultTheresultindicatesthattheinsured’Sage，originalpremiumdeathbenefit，deathrateandthechoiceoftheinvestmentaccountscanimpactthecontingentliabilityoftheGMDBTheinsu

7、rancecompanymaygetincomeorliabilitiesForthecontingentliabilities，thecompanyshouldheldcapitalforprovision，andfortheincome，thecompanyshouldanalyzeifitisfromthehighriskpremiumSobythismethodtheinsurancecompanycangetmorevalua