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变额年金产品具有给付投保人最低保证收益率的特点,使资本市场下滑风险从投保人转移到保险公司,但是风险的大小尚不明确。本文建立资产随机模型并使用破产概率和尾部期望损失两个指标度量保险公司销售最低生存利益保证保险(GMLB)和最低身故利益保证保险(GMDB)承担的风险。结果表明最低保证收益率对GMLB的风险有显著影响,而对GMDB没有,在最低保证收益率既定的条件下保险公司投资于股票的份额对风险有显著影响。
The variable annuity product has the characteristics of paying the minimum guaranteed rate of return of the insured, and the risk of the capital market sliding down is transferred from the insured to the insurer. However, the size of the risk is not yet clear. In this paper, we establish a stochastic asset model and use the two indicators of bankruptcy probability and tail expectation loss to measure the risks borne by insurance companies’ GMLB and GMDB. The results show that the minimum guaranteed rate of return has a significant impact on the risk of GMLB, but for GMDB, the share of insurers investing in stocks has a significant impact on the risk given the minimum guaranteed rate of return.