摘要
本文利用金融市场无套利原理,讨论了通过计算风险中性概率下的合同负债期望现值,得出合同初始时刻负债的公允价值,进而确定分红保险的公平价格的定价方法。同时,还区分了保险人面对合同"资不抵债"时的两种处理方法,并分别计算破产概率和保险人需注入的新资本金的期望现值。此外,本文还讨论了分红保险合同期限长度,资产波动率,合同保障利率以及市场利率的变动对合同初始时刻负债公允价值,破产概率,保险人需注入新资本金的期望现值的影响。
The participating policies have dominated the Chinese life insurance market in recent years. However, the pricing method of these policies lags behind the development of the insurance market. This article discussed how to price participating insurance policies under the no arbitrage assumption and fair contract conception. We also demonstrated how to calculate the ruin probability and the expectation of the extra required capital＇s present value. Additionally, we indicated the movement of liability＇s fair value, ruin probability and required capital by changes of contract＇s period, assets＇ volatility, guaranteed interest rate and market interest rate respectively.
出处
《保险研究》
CSSCI
北大核心
2008年第12期40-46,共7页
Insurance Studies
关键词
分红保险定价
欧式期权
蒙特卡罗模拟
破产概率
公平价值
pricing of participating policies
european option
monte carlo simulation
ruin probability： fair value
