CVaR-hedging and its applications to equity-linked life insurance contracts with transaction costs

This paper analyzes Conditional Value-at-Risk(CVaR)based partial hedging and its applications on equity-linked life insurance contracts in a Jump-Diffusion market model with transaction costs.A nonlinear partial differential equation(PDE)that an option value process inclusive of transaction costs should satisfy is provided.In particular,the closed-form expression of a European call option price is given.Meanwhile,the CVaR-based partial hedging strategy for a call option is derived explicitly.Both the CVaR hedging price and the weights of the hedging portfolio are based on an adjusted volatility.We obtain estimated values of expected total hedging errors and total transaction costs by a simulation method.Furthermore,our results are implemented to derive target clients’survival probabilities and age of equity-linked life insurance contracts.

A Research on Whole Life Insurance

The formulas of premiums and premium reserves of a kind of mixed whole life insurance were obtained by the methods of actuarial science. Then we take a typical policy of whole life insurance in present Chinese market as an example to analyze its expense design and predict its market prospects.

An Extension of One-Period Nash Equilibrium Model in Non-Life Insurance Markets

This paper deals with an extension of the one-period model in non-life insurance markets (cf. [1]) by using a transition probability matrix depending on some economic factors. We introduce a multi-period model and in each period the solvency constraints will be updated. Moreover, the model has the inactive state including some uninsured population. Similar results on the existence of premium equilibrium and sensitivity analysis for this model are presented and illustrated by numerical results.

A Statistical Analysis of Intensities Estimation on the Modeling of Non-Life Insurance Claim Counting Process

This study presents an estimation approach to non-life insurance claim counts relating to a specified time. The objective of this study is to estimate the parameters in non-life insurance claim counting process, including the homogeneous Poisson process (HPP) and the non-homogeneous Poisson process (NHPP) with a bell-shaped intensity. We use the estimating function, the zero mean martingale (ZMM) as a procedure of parameter estimation in the insurance claim counting process. Then, Λ(t) , the compensator of is proposed for the number of claims in the time interval . We present situations through a simulation study of both processes on the time interval . Some examples of the situations in the simulation study are depicted by a sample path relating to its compensator Λ(t). In addition, an example of the claim counting process illustrates the result of the compensator estimate misspecification.

Empirical Analysis of Determinant Factors of the Corporate Performance of Life Insurance Companies in China

The life insurance industry in China still stays at a primary stage of development. It is characterized by small size, low penetration, and low density. Nevertheless, China’s large population, together with the emerging middle class, and the continuously improving social and economic environment, promise the life insurance industry a bright future. The government’s limited pension reserves cannot effectively deal with the aging problem, implying that commercial insurance companies are bound to play a more critical role in alleviating the aging problem. In 2014, Chinese government issued a series of favorable policies. Life insurance companies are now allowed to invest a certain proportion of premium in high risk issues and set the return on investment (ROI) of saving insurance products higher than 2.5%. Changes in external factors and policies prompt life insurance companies to change their operation mode so that they can meet the market demand. This paper empirically analyzes operational factors (such as structure of distribution channels, structure of products, human resource, market power, etc.) that affect the corporate performance of Chinese life insurance companies. The paper aims to help life insurance companies choose a proper distribution channel, focus marketing expenses and R&D on the right product, set the scale and the salesman team at a rational size, and adjust the compensation ratio to a rational level. The data are gathered from 36 high-ranked Chinese life insurance companies from 2010 to 2014. The panel data set is analyzed via fixed effect model and panel threshold model. To avoid spurious regression, a series of preliminary tests are conducted. The results show that percentage of revenue from bancassurance channel, percentage of revenue from specialized insurance agencies, percentage of revenue from saving product, percentage of revenue from group product, size of insurers, market share of insurers, and solvency rate all have negative effect on the corporate performance of life insurance companies. If an insurer were a subsidiary of a bank, its percentage of revenue from bancassureance would have a positive effect on its corporate performance. The paper contributes to existing literature on how particular distribution channels and products of Chines life insurance companies affect their corporate performance.

Demand Model for Investment-oriented Life Insurance under uncertain lifetime

In this paper, we set up continuous time model with Poisson Process to analyze demand of investment-oriented life insurance. Individual life time is assumed random, and he is received fixed income, investment-oriented life insurance is an important financial asset under this model. Dynamic programming is applied to analyze this problem. The optimal explicit solutions are obtained in the case of CRRA utilities, and draw its demand curve with numerical simulation.

A Bayesian Inference of Non-Life Insurance Based on Claim Counting Process with Periodic Claim Intensity

The aim of this study is to propose an estimation approach to non-life insurance claim counts related to the insurance claim counting process, including the non-homogeneous Poisson process (NHPP) with a bell-shaped intensity and a beta-shaped intensity. The estimating function, such as the zero mean martingale (ZMM), is used as a procedure for parameter estimation of the insurance claim counting process, and the parameters of model claim intensity are estimated by the Bayesian method. Then,Λ(t), the compensator of N(t) is proposed for the number of claims in a time interval (0,t]. Given the process over the time interval (0,t]., the situations are presented through a simulation study and some examples of these situations are also depicted by a sample path relating N(t) to its compensatorΛ(t).

On the Issue of Commercial Insurance Market as in the Slovak Republic

The insurance industry in the Slovak Republic has become an important dynamically developing area of economy.Insurance affects all the activities into the national economy,touching every company,business,citizen,society,and foreign countries.The Slovak insurance market is developed.As at 31.12.2017,there operated 21 commercial insurance companies on the Slovak commercial insurance market.The evolution of the market in life insurance in recent years is more dynamic than in the non-life insurance.

Can I Have My Life Insured?

A man went to an insurance(保险)office to have his life insured.The manager of the office asked him how old his parents were when they died. 'Mother had a bad heart and died at the age of thirty.Father died of tuberculosis when he was thirty- five.' 'I am very sorry,'said the manager.'We cannot insure your life as your parents were not healthy.'

Effect of Rural Social Pension Insurance on Total Retail Sales of Consumer Goods

Based on data of 31 provinces of China in 2019 collected from the National Bureau of Statistics,this paper explores the impact of the number of urban employees’endowment insurance on the total retail sales of social consumer goods in different provinces in China.Taking the population,per capita disposable income,per capita life expectancy,and regional per capita GDP of each province as the variables,this paper establishes regression models to do the empirical research.The results show that:(1)The increase of the number of urban employees’old-age insurance has a significant positive impact on residents’consumption.The wider the coverage of old-age insurance,the more it can enhance the consumption confidence of the residents.(2)Due to the economic development,the level of urbanization has been greatly improved,leading to an increased birth rate and total population,and thus consumption has been driven.Therefore,the increase of the total population has a significant positive effect on the increase of the total retail sales of social consumer goods.(3)The increase of per capita disposable income has insignificant impact on the increase of total retail sales of social consumer goods due to residents’debt,the rise of house prices,the rapid widening of income gap between different groups,and the difficulty of meeting the various needs of people.(4)Although the increase of life expectancy per capita will lead to the decrease of total retail sales of social consumer goods,this decrease is not significant.(5)Per capita GDP will lead to a small increase in the total retail sales of social consumption.Finally,based on the above conclusions,some suggestions to stimulate consumption are given.

Equilibrium Reinsurance Strategy and Mean Residual Life Function

In this paper,we analyze the relationship between the equilibrium reinsurance strategy and the tail of the distribution of the risk.Since Mean Residual Life(MRL)has a close relationship with the tail of the distribution,we consider two classes of risk distributions,Decreasing Mean Residual Life(DMRL)and Increasing Mean Residual Life(IMRL)distributions,which can be used to classify light-tailed and heavy-tailed distributions,respectively.We assume that the underlying risk process is modelled by the classical CramérLundberg model process.Under the mean-variance criterion,by solving the extended Hamilton-Jacobi-Bellman equation,we derive the equilibrium reinsurance strategy for the insurer and the reinsurer under DMRL and IMRL,respectively.Furthermore,we analyze how to choose the reinsurance premium to make the insurer and the reinsurer agree with the same reinsurance strategy.We find that under the case of DMRL,if the distribution and the risk aversions satisfy certain conditions,the insurer and the reinsurer can adopt a reinsurance premium to agree on a reinsurance strategy,and under the case of IMRL,the insurer and the reinsurer can only agree with each other that the insurer do not purchase the reinsurance.

Practice and Research on Construction of Basic Life Security Program for Land-Expropriated Farmers in China

To set up basic life security program （BLSP） for land-expropriated farmers in the process of urbanization is an effective measure to solve existing issues in China. Theprogram, which Zhejiang Province initiated in the world, has great significance. Through deep investigation in ten cities, the thesis has normatively evaluated current situations, characteristics, advantages and disadvantages of basic life security program for land-expropriated farmers in Zhejiang. Furthermore, it put forward some academic suggestions to further perfect and improve the system.

深圳推广实施UDI促“三医联动”新发展的实践思考

自2019年以来,医疗器械唯一标识(UDI)推广应用工作正在全国范围内分阶段、分步骤实施。深圳市先行先试,严格按照国家和省市相关政策要求落实相关工作,在UDI政策、标准、技术和应用等多个层面进行了探索,以标准先行、行业宣贯、企业培训、平台应用全方位建设医疗器械追溯体系,UDI的推广实施已取得实质性成效。深圳市形成“一个平台支撑,两个端口发力,三个部门联动,四个标准指引”的工作模式,搭建全省首个UDI追溯平台并于2021年10月14日正式上线启用,以UDI编码为关键信息,采集医疗器械的生产、流通和临床使用信息,为落地实施UDI工作提供技术支撑、精准监管和智慧监管。该平台现已通过数据接口等方式采集了来自深圳400余家制造商的8万多种产品(UDI-DIs),深圳30余家甲级三级医院的100余万条临床患者使用信息。目前,深圳市正以UDI追溯平台作为推动UDI实施工作的实际“抓手”,有序扩大UDI实施企业范围,增加医疗机构试点,丰富数据对接方式。本研究总结了深圳市UDI推广实施过程中遇到的挑战以及应对策略和方法,梳理了深圳市推广UDI实施的成效做法,旨在以推广UDI工作为契机,形成推动“三医联动”应用示范效应和可复制的经验总结,为全面实现深圳市医疗器械全生命周期精准追溯和深圳市医疗器械产业高质量发展贡献力量。

社会医疗保险对临终老年人健康水平影响的量化分析

[目的]分析社会医疗保险对临终老年人健康水平的影响。[方法]基于2011-2018年CLHLS数据,采用多元线性回归模型分析不同参保类型老人的临终健康水平的差异,运用Bootstrap方法对医疗保险的调节效应进行检验。[结果]职工医保与临终老人的患重病次数、卧床天数的回归系数分别为0.111、0.059,新农合与临终老年人的患重病次数的回归系数为-0.014(P<0.05);调节效应显示,职工医保和总医疗费用的交互项与临终老年人患重病次数的回归系数为正(P<0.05),新农合和总医疗费用的交互项与临终老年人患重病次数的回归系数为负(P<0.05)。[结论]不同社会医疗保险类型对临终老年人的健康水平有显著影响;医疗保险可以调节医疗服务利用对临终老年人健康水平的影响。

牙周病疾病经济负担及口腔医疗保险制度的研究现况

牙周病是一种慢性、多因素疾病,人群发病率接近90%,是造成成人牙齿缺失的主要原因,其并发症对患者的营养、生活质量和自尊均产生负面影响。同时,当前大部分国家地区基本医疗保险不能统筹支付口腔门诊治疗费用,并缺乏商业保险的补充。牙周病的高发病率、低就诊率、低口腔医疗保险覆盖率,给个人、家庭和社会带来了沉重的疾病经济负担。本文就国内外牙周病疾病经济负担及口腔医疗保险制度的研究现况进行文献回顾,指出应推动我国牙周疾病经济负担及口腔医疗保险研究的深入开展,为具体工作提供理论依据。

基于长期护理保险探讨社区健康随访管理与失能居民生活质量的关联性

目的探究社区健康随访管理与长期护理保险(简称长护险)居家照护居民生活质量的关系,为构建以失能居民为中心的整合式社区居家医疗护理服务模式提供依据。方法根据纳入排除标准,按照方便原则选取上海市闵行区梅陇社区2021年1月1日至12月31日参保长护险居家照护的居民。参保满1年以后,由培训合格的社区医师使用36条简明健康状况调查(the 36-item short form health survey,SF-36)量表面对面调查研究对象的生活质量,基于居民电子健康档案、社区慢性病管理系统、长护险管理系统,结合现场问卷调查,采集研究对象的基本人口学信息、生活方式、罹患疾病种类、慢性病共病状况及参加社区提供的健康随访管理情况等。采用横断面分析方法,评估社区健康随访管理与长护险居家照护参保居民生活质量之间的关系。结果230人(57.64%)实际接受社区卫生服务中心提供的健康随访管理,调查结果显示其SF-36量表的总体健康、生理职能、躯体疼痛、精神健康、活力、情感职能维度得分均高于未接受随访的人群,且组间差异具有统计学意义(P值均<0.05)。此外,接受社区健康随访管理者SF-36量表健康变化分数高于未接受随访者(P=0.003),提示健康状况较好。控制人口学及混杂因素后,进一步分析表明,社区卫生服务中心提供的健康随访管理与长护险居民SF-36量表的总体健康、生理职能、躯体疼痛、精神健康、活力维度有显著正相关(P值均<0.05)。结论社区卫生服务中心提供的健康随访管理对失能居民的生活质量有显著的正向影响。社区健康随访管理是提高长护险居家照护服务质量的有效途径。

新生命表对寿险精算定价的影响分析

《中国人身保险业经验生命表(2023)(征求意见稿)》中,全国平均死亡率下调24.42%,预期寿命延长2岁左右,粤港澳大湾区死亡率低于全国水平。这意味着,中国人口老龄化现象加剧,粤港澳大湾区面临更为严峻的老龄化问题。本文分别测算了单独死亡率下调、死亡率和预定利率同时下调这两种情况下,各类寿险产品纯风险保费的变动情况。研究发现,单纯考虑死亡率下调时,死亡风险保险责任类险种的纯风险保费下降,生存风险保险责任类险种的纯风险保费上涨,具有较高杠杆系数的定期寿险保费的降幅最大,其中,30岁的定期寿险保费下降近50%。考虑死亡率下调和预定利率下调双重影响时,具有现金价值类寿险产品的纯风险保费普遍上涨,延期年金保险的纯风险保费的涨幅最大,其中,延期终身年金保险的纯风险保费上涨30%左右。这明显大于单纯考虑死亡率下调时的保费变动,反映出预定利率变动对现金价值类寿险产品的影响效应更大。粤港澳大湾区专属生命表的使用将在该区域寿险消费中产生更显著的价格作用,使男性养老风险管理的压力更大。

Life-insurance Efficiency in China:A Comparison of Foreign and Domestic Firms

The Chinese life-insurance industry has experienced major structural changes in recent years, primarily because of increasing demand and the entry of foreign insurers. Although the market is clearly booming, the efficiency of its growth and development is unclear. In this paper, we evaluate the efficiency of life insurers operating in China and compare foreign firms with domestic firms. We find that foreign insurers have not brought efficiency into the Chinese market, and that the market is still dominated by domestic giants. However, the gap between foreign insurers and domestic insurers is narrowing. After testing hypotheses regarding scale economy, technical progress andpotential improvements, we discuss several issues＇ of importance to life insurers, market investors and government regulators.