摘要
应用无套利分析方法和二叉树方法对退保期权进行了定价,使用数值方法得到了中国市场的三次多项式利率期限结构模型,并应用以上结果建立了基于利率风险的久期缺口免疫模型,并使用保险公司实际资产负债数据对模型效果进行了检验。
By the method of no-arbitrage analysis and binary tree, the value of embedded surrender option is priced. And with the numerical method, the model for interest rate term structure in Chinese market is ascertained in the form of cubic polynomial. According to the above, the absolute immunity model of duration gap is set up against interest rate risk. Finally, the model is applied with the actual data of asset and liability.
出处
《中国管理科学》
CSSCI
2007年第2期9-14,共6页
Chinese Journal of Management Science
基金
国家杰出青年基金资助项目(70225002)
关键词
资产负债管理
利率风险
免疫模型
退保期权
二叉树
ALM
interest rate risk
absolute immunity model
surrender option
binary tree
