| 附动态提款权的权益联结型年金的准备金研究(英文) |
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| 引用本文： | 王学金.附动态提款权的权益联结型年金的准备金研究(英文)[J].贵州师范大学学报(自然科学版),2014(2):62-66. |
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| 作者姓名： | 王学金 |
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| 作者单位： | 滁州学院数学科学学院,安徽滁州239000 |
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| 基金项目： | 安徽省级金融工程团队（2013jxtd035） |
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| 摘 要： | 同年金定价一样,准备金的提留也是研究年金产品的一个主要方面,本文以权益联结型年金中的附动态提款权的最低保证收益型年金为研究对象,假定标的权益服从一个随机波动性模型,得到了该年金在α分位数下的准备金的显式表达式,然后以2012年深成指日交易收盘价数据为样本对对数收益率进行了基本统计分析,最后对准备金的影响因子作了敏感性分析。
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| 关 键 词： | 动态提款权 最低保证收益型年金 随机波动模型 分位数准备金 |
The study of reserve on equity-linked insurance attaching dynamic drawing rights |
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| WANG Xuejin.The study of reserve on equity-linked insurance attaching dynamic drawing rights[J].Journal of Guizhou Normal University(Natural Sciences),2014(2):62-66. |
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| Authors: | WANG Xuejin |
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| Institution: | WANG Xuejin(School of Mathematical Science, Chuzhou University, Chuzhou, Anhui 239000, China) |
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| Abstract: | Reserving plays a significant role in studying the life insurance as well as pricing.This paper mainly studies a kind of equity-linked insurance：the guaranteed minimum benefits annuity attaching dynamic drawing rights.We assume that the underlying equity obeys a stochastic volatility model and get the explicit form of the quantile reserve next.Then we conduct the basic statistical analysis with the daily Shenzhen component index in 2012.Finally,we do the sensitivity analysis with the impact factors of the quantile reserve. |
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| Keywords: | dynamic drawing rights （DDRs） guaranteed minimum benefits annuity stochastic volatility model quantile reserve |
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