附动态提款权的权益联结型年金的准备金研究-论文.pdf

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1、第32卷第2期贵州师范大学学报(自然科学版)V0l_32．No．42014年4月JournalofGuizhouNormalUniversity(NaturalSciences)Apr．2014文章编号：1004-5570(2014)02—0062—05Thestudyofreserveonequity··linkedinsuranceattachingdynamicdrawingrightsWANGXuejin(SchoolofMathematicalScience，ChuzhouUniversity，Chuzhou，Anhui

2、239000，China)Abstract：Reservingplaysasignificantroleinstudyingthelifeinsuranceaswellaspricing．Thispapermainlystudiesakindofequity—linkedinsurance：theguaranteedminimumbenefitsannuityattachingdynamicdrawingrights．Weassumethattheunderlyingequityobeysastochasticvolatility

3、modelandgettheexplicitformofthequantilereservenext．ThenweconductthebasicstatisticalanalysiswiththedailyShenzhencomponentindexin2012．Finally，wedothesensitivityanalysiswiththeimpactfactorsofthequantilereserve．Keywords：dynamicdrawingrights(DDRs)；guaranteedminimumbenefits

4、annuity：stochasticvolatilitymod．el；quantilereserve附动态提款权的权益联结型年金的准备金研究王学金(滁州学院数学科学学院，安徽滁州239000)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，得到了该年金在分位数下的准备金的显式表达式，然后以2012年深成指Et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。关键词：动态提

5、款权；最低保证收益型年金；随机波动模型；分位数准备金中图分类号：0211．6文献标识码：Aiableannuityareunabletomeettheinvestmentneeds1Introductionofinvestorsrecently．Thereforeavarietyofnewannu—ityproductsappearwhichcontaintheequity—·linkedWiththeimprovementofincomeandthein—annuity．Themostsignificantfeatureofth

6、eequity——creaseofinvestmentneeds，thefixedannuityandvar—linkedannuityisthatthepolicyholderscanbepartial一收稿日期：2013—07—12基金项目：安徽省级金融工程团队(2013jxtd035)作者简介：王学金(1988一)，男，助教，硕士，研究方向：精算数学，E-mai：wxjahcz@chzu．edu．cn62第2期王学金：附动态提款权的权益联结型年金的准备金研究lyinvolvedinthegrowthoftheunderlyi

7、ngequityandcialfield，thispapermainlyfocusonsolvingthere-gettheminimumguaranteebenefitsatmaturitydate．serveoftheguaranteedminimumbenefitsannuityat—Sohowtoevaluatetheriskscorrectlyandsetthere—tachingdynamicdrawingrightsundertheSVmode1．servesappropriatelyarecrucialforins

8、urancecompa—Inthisarticle，weassumethatthepriceprocessofthenies．undedyingequityobeystheSVmodelandgettheex·Thepricingoftheequi