| 随机利率下寿险定价风险的VAR分析 |
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| 引用本文： | 刘家军,黄少杰.随机利率下寿险定价风险的VAR分析[J].汕头大学学报(自然科学版),2010,25(1):42-47. |
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| 作者姓名： | 刘家军 黄少杰 |
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| 作者单位： | 广东商学院数学与计算科学学院,广东,广州,510320 |
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| 摘 要： | 在随机利率下对寿险定价的利率风险进行分析.通过对随机利率模型进行参数估计和假设检验,选择CIR模型为产生模拟利率的基础,推导出基于随机利率的定期寿险毛保费表达式,结合加拿大资产负债方法为产品定价,并利用在险价值(VAR)度量定价的利率风险.
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| 关 键 词： | CKLS模型 VAR 人寿保险 随机利率 加拿大资产负债方法 |
VAR Analysis of Life Insurance Pricing Risk under the Random Interest Rate |
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| LIU Jia-jun,HUANG Shao-jie.VAR Analysis of Life Insurance Pricing Risk under the Random Interest Rate[J].Journal of Shantou University(Natural Science Edition),2010,25(1):42-47. |
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| Authors: | LIU Jia-jun HUANG Shao-jie |
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| Institution: | LIU Jia-jun,HUANG Shao-jie(Department of Mathematics,Guangdong University of Business Studies,Guangzhou 510320,Guangdong,China) |
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| Abstract: | The interest rates risk of life insurance pricing under the random interest rate is analyzed.First of all,the CIR model is selected as the basis to generate the simulated interest rates by the parameter estimation and hypothesis testing of random interest rate model.Then,a gross premium expression of regular life insurance under the assumption of random interest rate is derived.The minds of CALM are combined to measure the interest rate risk by using the VAR. |
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| Keywords: | VAR |
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