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以具有利率保证收益的累积分红型寿险为研究对象,以公允价值为保险合同负债的计量属性,以金融未定权益估值理论为基础,建立了一个多期的保险负债估价模型,通过蒙特卡罗方法得到模拟计算的结果.研究表明,该模型适用于具有利率保证和内嵌期权的寿险合同的负债估价.在考虑信用风险的条件下,累积分红保险的负债价值可分解成固定收益债券、年度分红权、期末分红权以及违约期权四个部分.
Taking cumulative dividend-type life insurance with guaranteed interest rate as the research object and fair value as the measuring attribute of insurance contract liability, a multi-period valuation model of insurance liability is established based on the theory of financial contingent valuation of rights. Through Monte Carlo Method is used to get the result of the simulation.The research shows that the model is suitable for the valuation of the life insurance contract with the interest rate guarantee and the embedded option.When considering the credit risk, the liability value of the cumulative dividend insurance can be decomposed into fixed income bonds, Dividend rights, the right to dividends and the defaulting period of four parts.