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保险责任准备金是保险公司风险管理的重要度量指标,责任准备金的精确合理的测算,将会对保险公司的健康发展起着极其重要的作用。分数时点净保费责任准备金的测算依赖于精算假设,本文在提出一类有理样条死亡假设的基础上,研究了终身寿险的分数时点净保费责任准备金的计算问题。我们得到了其理论计算公式和上下界范围,探讨了调节参数的变化对净保费责任准备金的影响。数据分析表明:分数时点责任准备金对调节参数的变化比较敏感,目前常用的UDD假设下的责任准备金测算值恰是本文方法下的一个边界。所以基于有理样条估计方法的分数时点责任准备金测算在实务中具有很强的灵活性,对保险公司责任准备金风险管理具有重要的指导意义。
Insurance reserve is an important measure of risk management of insurance companies. The accurate and reasonable estimation of liability reserves will play an extremely important role in the healthy development of insurance companies. Based on the actuarial assumption, this paper proposes a class of rational spline death hypothesis, and studies the calculation of the net premium liability reserve of fractional life insurance. We have obtained the theoretical calculation formula and the range of the upper and lower bounds, and discussed the impact of the change of adjustment parameters on the net premium liability reserve. The data analysis shows that the fractional reserve liability is sensitive to the change of the adjustment parameters. The current estimate of the liability reserve under the UDD assumption is just a boundary under this method. Therefore, the method of rational spline estimation based on the point-in-time liability reserve calculation has great flexibility in practice and has important guiding significance for the insurance company liability reserve risk management.