寿险定价的利率风险研究及防范
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摘要
寿险业是经营风险的行业，其风险如影随形。1996年以来，连续8次的降息，使我国寿险业的利差损问题变得格外突出，也使得寿险业的利率风险管理研究一时成为我国保险界关注的焦点。
本论文的研究对象是寿险定价的利率风险，即寿险保单的利差损风险。寿险利差损风险是指寿险资金实际收益率与保单预定利率之不利偏差引起的亏损的可能性。寿险利差损风险是威胁着寿险公司盈利能力和寿险经营稳定性的一大风险．国内许多学者及行业人士已经对寿险利差损风险从定性和定量角度进行了较为充分的研究。他们的研究方法大多沿袭传统的均值一方差分析方法，但将VaR技术运用到寿险定价的利率风险管理中还未尝见到．
VaR(Valuc at Risk)或称风险价值法是近年来新出现的金融风险管理工具，是一种利用统计思想对金融风险进行估值的方法。在短短的过去几年中，VaR已受到越来越多的重视和得到广泛的应用，成为一种常用的市场风险度量技术。本文侧重引入VaR技术定量分析寿险定价的利率风险，并将其应用于产品设计、保单定价、保单利润现值及保单利源的分析上。由于中国寿险历史数据的限制，本文利用蒙特卡罗模拟技术(MCS)模拟寿险投资收益率的变化运动轨迹，并在已有的均值回复随机利率模型中，添加了泊松跳跃过程，以体现偶然因素对收益率运动轨迹的影响。在实证分析中，本文利用VaR模型，分析初始费率的合理性，从而有效控制寿险定价的利率风险。
本文首先对当前中国寿险业的利率风险状况进行了深入的剖析，指出了加强我国寿险业的利率风险管理的必要性，然后介绍了基本的精算定价方法，并对比分析了各种定价方法的优劣．接着论文全面介绍了VaR模型、VaR计算方法及其缺陷和弥补措施。第四部分是本文的重点，研究在随机利率下，VaR技术在寿险定价中的应用过程。论文最后探讨了寿险定价的利率风险防范策略。本文基于寿险产品自身的特点，从不同的方面提出了防范寿险定价利率风险的三点策略：非固定信用利率保单的设计、利差损风险成本的考虑以及寿险产品的创新．本论文的研究侧重于方法和技术的理论性探讨。笔者希望本文的研究能够对我国寿险经营实务做出一点贡献。
Life insurance is a kind of industry which deals in risks, so risks have string along with life insurance since it was born. IRR(Interest Rate Risk)of China's life insurance goes more outstanding because of a sequence of lowering interest rate in China since 1996.What the thesis studies is IRR of life insurance pricing, namely, Interest Spread Risk. Interest Spread Risk of life insurance is defined as the loss probability resulting from unfavorable variation of real investment return rate of life insurance capital from policy ordered fixed credit interest rate. Interest Spread Risk, which is one of important risks which life insurance is faced to, strongly threatens the solvency and working stabilization of life insurance. There are many experts and life insurance workers studying on Interest Spread Risk from qualitative or quantitative ways by the mean-variance method, but writer has not yet found who analyzes Interest Spread Risk by VaR technique.VaR (Value at Risk) is a newly appeared financial risk management tool in recent years, which is a method that uses statistic thought to evaluate the financial risk. In the past several years, VaR has been more and more valuable with the extensive application, becoming a kind of technique to measure market risk in common use. This thesis lays emphasis on quantitative analyzing of Interest Spread Risk, policy pricing, policy design and present value of policy profits by VaR technique. In the empirical analysis, this study uses VaR model to analyze initial premium and control IRR of China's life insurance.At first this thesis points out that it is necessary to enhance the management of the IRR of China's life insurance by analyzing the IRR of China's life insurance industry. Then the thesis introduces basic methods of life insurance pricing and VaR model. The fourth section is the core of this thesis. Writer demonstrates the procedure of policy pricing by VaR technique. This thesis figures out VaR of profit objectives by Monte Carlo Simulation, which uses jump-diffusion stochastic model with the mean reverting process to simulate interest rate movement. At last, the thesis discusses some measures of guarding
against the IRR of life insurance pricing. There are three main measures which are based upon characters of life insurance products in the thesis: the policy with unfixed credit interest rate, calculating risk cost of Interest Spread Risk in policy pricing, renovating life insurance products. This thesis pays more attention on theoretical study in method and technology. Writer hopes the thesis can dedicate to life insurance practical operation in our country.
本论文的研究对象是寿险定价的利率风险，即寿险保单的利差损风险。寿险利差损风险是指寿险资金实际收益率与保单预定利率之不利偏差引起的亏损的可能性。寿险利差损风险是威胁着寿险公司盈利能力和寿险经营稳定性的一大风险．国内许多学者及行业人士已经对寿险利差损风险从定性和定量角度进行了较为充分的研究。他们的研究方法大多沿袭传统的均值一方差分析方法，但将VaR技术运用到寿险定价的利率风险管理中还未尝见到．
VaR(Valuc at Risk)或称风险价值法是近年来新出现的金融风险管理工具，是一种利用统计思想对金融风险进行估值的方法。在短短的过去几年中，VaR已受到越来越多的重视和得到广泛的应用，成为一种常用的市场风险度量技术。本文侧重引入VaR技术定量分析寿险定价的利率风险，并将其应用于产品设计、保单定价、保单利润现值及保单利源的分析上。由于中国寿险历史数据的限制，本文利用蒙特卡罗模拟技术(MCS)模拟寿险投资收益率的变化运动轨迹，并在已有的均值回复随机利率模型中，添加了泊松跳跃过程，以体现偶然因素对收益率运动轨迹的影响。在实证分析中，本文利用VaR模型，分析初始费率的合理性，从而有效控制寿险定价的利率风险。
本文首先对当前中国寿险业的利率风险状况进行了深入的剖析，指出了加强我国寿险业的利率风险管理的必要性，然后介绍了基本的精算定价方法，并对比分析了各种定价方法的优劣．接着论文全面介绍了VaR模型、VaR计算方法及其缺陷和弥补措施。第四部分是本文的重点，研究在随机利率下，VaR技术在寿险定价中的应用过程。论文最后探讨了寿险定价的利率风险防范策略。本文基于寿险产品自身的特点，从不同的方面提出了防范寿险定价利率风险的三点策略：非固定信用利率保单的设计、利差损风险成本的考虑以及寿险产品的创新．本论文的研究侧重于方法和技术的理论性探讨。笔者希望本文的研究能够对我国寿险经营实务做出一点贡献。
Life insurance is a kind of industry which deals in risks, so risks have string along with life insurance since it was born. IRR(Interest Rate Risk)of China's life insurance goes more outstanding because of a sequence of lowering interest rate in China since 1996.What the thesis studies is IRR of life insurance pricing, namely, Interest Spread Risk. Interest Spread Risk of life insurance is defined as the loss probability resulting from unfavorable variation of real investment return rate of life insurance capital from policy ordered fixed credit interest rate. Interest Spread Risk, which is one of important risks which life insurance is faced to, strongly threatens the solvency and working stabilization of life insurance. There are many experts and life insurance workers studying on Interest Spread Risk from qualitative or quantitative ways by the mean-variance method, but writer has not yet found who analyzes Interest Spread Risk by VaR technique.VaR (Value at Risk) is a newly appeared financial risk management tool in recent years, which is a method that uses statistic thought to evaluate the financial risk. In the past several years, VaR has been more and more valuable with the extensive application, becoming a kind of technique to measure market risk in common use. This thesis lays emphasis on quantitative analyzing of Interest Spread Risk, policy pricing, policy design and present value of policy profits by VaR technique. In the empirical analysis, this study uses VaR model to analyze initial premium and control IRR of China's life insurance.At first this thesis points out that it is necessary to enhance the management of the IRR of China's life insurance by analyzing the IRR of China's life insurance industry. Then the thesis introduces basic methods of life insurance pricing and VaR model. The fourth section is the core of this thesis. Writer demonstrates the procedure of policy pricing by VaR technique. This thesis figures out VaR of profit objectives by Monte Carlo Simulation, which uses jump-diffusion stochastic model with the mean reverting process to simulate interest rate movement. At last, the thesis discusses some measures of guarding
against the IRR of life insurance pricing. There are three main measures which are based upon characters of life insurance products in the thesis: the policy with unfixed credit interest rate, calculating risk cost of Interest Spread Risk in policy pricing, renovating life insurance products. This thesis pays more attention on theoretical study in method and technology. Writer hopes the thesis can dedicate to life insurance practical operation in our country.
引文
[1] Barr, P. G. Risk Management Gets New Respect. Pension and Investments, 1995, (03).
[2] Bing-Huei Lin, Shih-Kuo Yeh. Estimation for factor models of term strcture of interest with jumps : the case of the Taiwanese government bond market, Journal of International Financial Markets Institutions and Money, 2001, (11): 167-197
[3] Dongxiang Jiang. Insurance in China. FT Financial Publishing. Pearson Professional Limited Maple House, London, 1997.
[4] Etienne Marceau and Patrice Gaillardetz, On Life Insurance Reserves in a Stochastic Mortality an Interest Rates Environment, Mathematics and Economics, 1999, 25:261-280
[5]FankJ. Alpert, Dennis A. Blume, Joseph J. Buff. Asset/Liability Management. RECORD of SOCIETY of ACTUARIES, 1987, 4(13): 2179-2207
[6] Frank J. Fabozzi, Atsuo Konishi. The Handbook of Asset /Liability Management (Revised Edition), Irwin McGraw-Hill , 1996.
[7] Glyn Holton. Simulating Value-at-Risk. Risk, 1998, (5): 60-63
[8] Harry. H. Panjer(Editor). Financial Economics. The Actuarial Foundation, 1998.
[9] Holton, Glyn A. Simulating value at risk. The Journal of Performance Measurement, 1998, 3(1): 11-21
[10] Kupiec P H. Techniques for verifying the accuracy of risk measurement models. The Journal of Derivatives, 1995, 3(2): 73-84
[11] Lee, PJ , Wilkie, AD. A Comparison of Stochastic Asset Models. Proceedings AFIR 2000,2000:407-446
[12]Liewis C. Workman. Mathematical Foundations of Life Insurance. LOMA, 1994.
[13] Life Insurance Fact Book. American Council of Life Insurance.
[14] Managing for Solvency and Profitability in Life and Health Insurance. LOMA, 1996.
[15] Luca Barzanti, Corrado Corradi. A note on interest rate term struture estimation using tension splines. Mathematics and Economics, 1998, (22): 220-250
[16] Marceau E, Gaillardetz P. On life insurance reserves in a stochastic mortality and interest rates environment. Mathematics and Economics, 1999, (25): 261-280
[17] Mark. A. Tullis, Philip K. Polkinghorn. Valuation of life Insurance liabilities. ACTEX,1996.
[18] Mark. S. Dorfman. Introduction to Risk Management and Insurance. Sixth Edition.清华大学出版社,1998-10.
[19] Matin Grace et al. Identifying Troubled Life Insurers. Journal of Insurance Regulation, 1995.
[20] Mackay R, Keefer TE. VaR is a dangerous technique. Corporate Financial Searching for Systems Integration Supplement, 1996, (9): 30.
[21] Morgan J. P. Risk Metrics. Technical Document, 1995.
[22] Newton L. Borwers. Actuarial Mathematics. The Society of Actuaries, 1986.
[23] OECD. Insurance regulation and supervision in OECD countries. Asian economies and CEEC NIS countuies.
[24] OECD Secretariat. Developing Life Insurance in the Economies in Transition, 2001.
[25] Peter Albrecht. A Note on Immunization under a general Stochastic Equilibrium Model of the Term Structure. Mathematics and Economics, 1985, (4): 239～244
[26] Philippe J. Value at Risk the new bench for controlling market risk. The McGraw-Hill Company Inc 1997.
[27] Ran BarNiv, Robert A Hershbarger. Classifying Financial Distress in the Life Insurance Industry. The Journal of Risk and Insurance, 1990.
[28] Ran BarNiv, James B. McDonald. Identifying Financial Distress in the Insurance Industry: A Synthesis of Methodological and Empirical Issues. The Journal of Risk and Insurance, 1992, (4): 543～574
[29] Reitano, R. R. Multivariate Durational Analysis. TSA ⅩLⅢ, 1991: 393～442
[30] Stambaugh F. Risk and value at risk. EuropeanManagementJournal, 1996, (14): 612～621
[31] Stuat H. Leckie. Pension Funds in China. 1 st Publications, Hong Kong, 1999.
[32] Robert R. Reitano. Non-Parallel Yield Curve Shifts and Immunization. Course V-595 Study Note, SOA, 1995:27～95
[33] Zangari P. An Improved Methodology for Measuring VaR. Risk Metrics Monitor. Reuters/J. P. Morgan, 1996.
[34] 职业精算师专业指南．北美精算学会(SOA)，1998-08．
[35] 封进．中国寿险经营的风险研究，经济管理出版社，2002—10．
[36] 何文炯，蒋庆荣．随机利率下的增额寿险．高校应用数学学报，1998，(6)：145～151
[37] 李秀芳．我国寿险利率风险分析及其防范．南开经济研究，2000—01．
[38] 李秀芳、关凌．论资产负责管理技术指导下的寿险产品战略．南开经济研究．2001，(4)．
[39] 李秀芳．保险精算．中国金融出版社，2001—01．
[40] 李秀芳．中国寿险业资产负责管理研究．中国社会科学出版社，2002—11．
[41] 李亚解，朱宏泉，何跃．基于VaR的风险分析理论与计算方法．预测，2000(5)：36-39
[42] 雷星晖．保险公司风险管理观念发展与产品管理创新．河北人民出版社，2001．
[43] 刘新喜，杨全成．寿险公司资产负责管理中的利率风险分析．中国保险管理干部学院学报，2001，(5)．
[44] 马明哲著．繁荣危机：论中国保险体系改革与发展．香港：华光报业有限公司，1998．
[45] [美]安东尼·G．科因．利率风险的控制与管理(唐旭等译)．经济科学出版社，1999—03．
[46] [美]菲利普·乔瑞．VAR：风险价值—金融风险管理新标准(张海鱼等译)．中信出版社，2000—10．
[47] [美]约翰·马歇尔、维普尔·班赛尔．金融工程(宋逢明等译)．清华出版社，1998—07．
[48] [美]詹姆斯·C．范霍恩．金融市场利率与流量(赵智文译)．东北财经大学出版社，2000—03．
[49] 瑞士再．保险公司的资产与负责管理．Sigma，2000，(6)．
[50] [瑞士]汉斯U．盖伯．数理风险导论(成世学，严颖译)．北京：世界图书出版社，1998．
[51] 孙祁祥著．保险学．北京：北京大学出版社，1996．
[52] 吴金文，杨静平，周俊．随机利率寿险模型．经济数学，2001，(2)：95～99
[53] 魏巧琴著．保险企业风险管理．上海：上海财经大学出版社，2002．
[54] 雍炯敏，Rama Cont编．数学金融学—理论与实践．北京：高等教育出版社，2000．
[55] 张源．关于风险定义的探讨．南开大学数字学院研讨会，1998．
[56] 中国保险年鉴，中国保险年鉴编辑部，2000—10．
[57] 钟煦和．产品的定位．中国精算师年会，2000．
[2] Bing-Huei Lin, Shih-Kuo Yeh. Estimation for factor models of term strcture of interest with jumps : the case of the Taiwanese government bond market, Journal of International Financial Markets Institutions and Money, 2001, (11): 167-197
[3] Dongxiang Jiang. Insurance in China. FT Financial Publishing. Pearson Professional Limited Maple House, London, 1997.
[4] Etienne Marceau and Patrice Gaillardetz, On Life Insurance Reserves in a Stochastic Mortality an Interest Rates Environment, Mathematics and Economics, 1999, 25:261-280
[5]FankJ. Alpert, Dennis A. Blume, Joseph J. Buff. Asset/Liability Management. RECORD of SOCIETY of ACTUARIES, 1987, 4(13): 2179-2207
[6] Frank J. Fabozzi, Atsuo Konishi. The Handbook of Asset /Liability Management (Revised Edition), Irwin McGraw-Hill , 1996.
[7] Glyn Holton. Simulating Value-at-Risk. Risk, 1998, (5): 60-63
[8] Harry. H. Panjer(Editor). Financial Economics. The Actuarial Foundation, 1998.
[9] Holton, Glyn A. Simulating value at risk. The Journal of Performance Measurement, 1998, 3(1): 11-21
[10] Kupiec P H. Techniques for verifying the accuracy of risk measurement models. The Journal of Derivatives, 1995, 3(2): 73-84
[11] Lee, PJ , Wilkie, AD. A Comparison of Stochastic Asset Models. Proceedings AFIR 2000,2000:407-446
[12]Liewis C. Workman. Mathematical Foundations of Life Insurance. LOMA, 1994.
[13] Life Insurance Fact Book. American Council of Life Insurance.
[14] Managing for Solvency and Profitability in Life and Health Insurance. LOMA, 1996.
[15] Luca Barzanti, Corrado Corradi. A note on interest rate term struture estimation using tension splines. Mathematics and Economics, 1998, (22): 220-250
[16] Marceau E, Gaillardetz P. On life insurance reserves in a stochastic mortality and interest rates environment. Mathematics and Economics, 1999, (25): 261-280
[17] Mark. A. Tullis, Philip K. Polkinghorn. Valuation of life Insurance liabilities. ACTEX,1996.
[18] Mark. S. Dorfman. Introduction to Risk Management and Insurance. Sixth Edition.清华大学出版社,1998-10.
[19] Matin Grace et al. Identifying Troubled Life Insurers. Journal of Insurance Regulation, 1995.
[20] Mackay R, Keefer TE. VaR is a dangerous technique. Corporate Financial Searching for Systems Integration Supplement, 1996, (9): 30.
[21] Morgan J. P. Risk Metrics. Technical Document, 1995.
[22] Newton L. Borwers. Actuarial Mathematics. The Society of Actuaries, 1986.
[23] OECD. Insurance regulation and supervision in OECD countries. Asian economies and CEEC NIS countuies.
[24] OECD Secretariat. Developing Life Insurance in the Economies in Transition, 2001.
[25] Peter Albrecht. A Note on Immunization under a general Stochastic Equilibrium Model of the Term Structure. Mathematics and Economics, 1985, (4): 239～244
[26] Philippe J. Value at Risk the new bench for controlling market risk. The McGraw-Hill Company Inc 1997.
[27] Ran BarNiv, Robert A Hershbarger. Classifying Financial Distress in the Life Insurance Industry. The Journal of Risk and Insurance, 1990.
[28] Ran BarNiv, James B. McDonald. Identifying Financial Distress in the Insurance Industry: A Synthesis of Methodological and Empirical Issues. The Journal of Risk and Insurance, 1992, (4): 543～574
[29] Reitano, R. R. Multivariate Durational Analysis. TSA ⅩLⅢ, 1991: 393～442
[30] Stambaugh F. Risk and value at risk. EuropeanManagementJournal, 1996, (14): 612～621
[31] Stuat H. Leckie. Pension Funds in China. 1 st Publications, Hong Kong, 1999.
[32] Robert R. Reitano. Non-Parallel Yield Curve Shifts and Immunization. Course V-595 Study Note, SOA, 1995:27～95
[33] Zangari P. An Improved Methodology for Measuring VaR. Risk Metrics Monitor. Reuters/J. P. Morgan, 1996.
[34] 职业精算师专业指南．北美精算学会(SOA)，1998-08．
[35] 封进．中国寿险经营的风险研究，经济管理出版社，2002—10．
[36] 何文炯，蒋庆荣．随机利率下的增额寿险．高校应用数学学报，1998，(6)：145～151
[37] 李秀芳．我国寿险利率风险分析及其防范．南开经济研究，2000—01．
[38] 李秀芳、关凌．论资产负责管理技术指导下的寿险产品战略．南开经济研究．2001，(4)．
[39] 李秀芳．保险精算．中国金融出版社，2001—01．
[40] 李秀芳．中国寿险业资产负责管理研究．中国社会科学出版社，2002—11．
[41] 李亚解，朱宏泉，何跃．基于VaR的风险分析理论与计算方法．预测，2000(5)：36-39
[42] 雷星晖．保险公司风险管理观念发展与产品管理创新．河北人民出版社，2001．
[43] 刘新喜，杨全成．寿险公司资产负责管理中的利率风险分析．中国保险管理干部学院学报，2001，(5)．
[44] 马明哲著．繁荣危机：论中国保险体系改革与发展．香港：华光报业有限公司，1998．
[45] [美]安东尼·G．科因．利率风险的控制与管理(唐旭等译)．经济科学出版社，1999—03．
[46] [美]菲利普·乔瑞．VAR：风险价值—金融风险管理新标准(张海鱼等译)．中信出版社，2000—10．
[47] [美]约翰·马歇尔、维普尔·班赛尔．金融工程(宋逢明等译)．清华出版社，1998—07．
[48] [美]詹姆斯·C．范霍恩．金融市场利率与流量(赵智文译)．东北财经大学出版社，2000—03．
[49] 瑞士再．保险公司的资产与负责管理．Sigma，2000，(6)．
[50] [瑞士]汉斯U．盖伯．数理风险导论(成世学，严颖译)．北京：世界图书出版社，1998．
[51] 孙祁祥著．保险学．北京：北京大学出版社，1996．
[52] 吴金文，杨静平，周俊．随机利率寿险模型．经济数学，2001，(2)：95～99
[53] 魏巧琴著．保险企业风险管理．上海：上海财经大学出版社，2002．
[54] 雍炯敏，Rama Cont编．数学金融学—理论与实践．北京：高等教育出版社，2000．
[55] 张源．关于风险定义的探讨．南开大学数字学院研讨会，1998．
[56] 中国保险年鉴，中国保险年鉴编辑部，2000—10．
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