寿险利差损风险的精算分析
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摘要
我们生活在一个可能性的世界之中。“可能性”问题产生于客观世界的变化性和我们主观认识之尚不能完全及于此变化。由古至今，人类与“可能性”作斗争的行为充斥着人类社会的整个发展阶段。当人类社会步入理性的文明时代之后，数理技术成为人类认识和控制可能性的主要工具。运用数理技术对事物进行定量分析使我们的认识上升到第二个阶段，更深入地了解事物的本质。运用数理技术进行预测和控制体现了这样一种思维方式：以过去经验预知未来结果，因此经验数据成为其运用的可行性基础。
本论文的研究对象是寿险利差损风险，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宏观的角度进行了较为充分的研究，但定量研究的为数不多。本论文则侧重于对寿险利差损风险的定量分析和在产品设计、产品定价、保单现金流及保单利源等微观机制层面上的分析。另外，本论文的研究侧重于方法和技术的理论性探讨。作者希望本论文的研究能够对我国寿险经营实务做出一点贡献。
论文的基本思路：
论文首先讨论了寿险利差损风险产生的原因，并着重分析了我国目前寿险利差损风险的成因；其次，对寿险利差损风险进行了定量分析，包括1）以概率论作为数学基础对寿险利差损风险的度量，2）从风险度量的角度和寿险精算利源分析的角度分析影响寿险利差损风险额度的因素；接着探讨寿险业务利差损的预测方法，主要从两方面进行预测：总体业务的预测和不同类别业务的分别预测；然后论文讨论
寿险利差损风险对寿险经营的影响，论文论证了寿险经营利润的主要决定方面在于保单盈利，通过保单利润现值的敏感性分析得出结
论，保单盈利又主要在利差方面的盈利，由此可见寿险利差损风险对寿险经营利润影响的显著性。寿险利差损风险对寿险经营利润的影响还来自于它对寿险公司责任准备金评估的影响结果。进而，论文讨论了寿险利差损风险对寿险公司责任准备金评估的影响，得出寿险利差损风险影响寿险经营利润的进一步结论；论文最后探讨了寿险利差损风险的防范策略，基于论文前面部分的讨论结果，论文提出了防范寿险利差损风险的两个策略：非固定信用利率保单的设计和定价对寿险利差损风险成本的考虑。
论文各章的主要内容：
第一章寿险利差损风险的生成机理。鉴于限定研究对象及其范围的需要，作者给寿险利差损风险的内涵予以了界定。寿险利差损风险的内涵为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。作者分析了如此界定寿险利差损风险内涵的合理性及适用性，特别指出定义中采用的保单预定利率的称谓只适用于固定成本的寿险保单，而更具普适性的应以保单信用利率代替保单预定利率，因寿险利差损风险更易于发生于固定成本的保单，故而才采用保单预定利率的说法。由于寿险利差损风险与寿险利率风险的概念相近，为了进一步明确本论文的研究对象，论文特别地将寿险利差损风险与寿险利率进行了比较。寿险利差损风险产生的直接原因是不利的或负的利差与寿险资金收益率的不确定性和波动性。目前，寿险利差损风险在我国早期开展的寿险业务中普遍存在，本论文对我国寿险利差损风险的特殊成因进行了分析。
第二章寿险利差损风险的描述与测度。寿险利差损风险的度量因定价方法的不同而采用不同的数学描述。由于以保费附加法定价的寿险保单价格结构中不含有保单预期利润成分，故而以寿险精算现值的标准差来度量寿险利差损风险。以现金流量法定价，则可以保单利润现值的标准差来度量风险。并且，利用中心极限定理，我们还可以估算寿
险公司某一类保单组合总利润现值偏离其期望某一特定值或偏离不超过某一特定值的概率。不同险种类别的保单利润现值标准差是不同的。缴费方式也影响着寿险利差损风险的额度，一般趸缴保费方
式的风险高于年缴保费方式的风险，论文中对此予以了证明。从寿险利源分析的角度，我们得出影响寿险利差损风险大小的三个因素：1）当年利差大小，2）期初责任准备金大小，3）期初保单积累盈余大小。对寿险公司总体业务利差损预测可采用责任准备金方法和现金流量方法。对不同业务的利差损预测通过测算该业务保单利润现值完成，论文以一种年金业务为具体例子介绍该方法的操作过程。
第三章寿险利差损风险对寿险经营的影响。寿险利差损风险对寿险经营利润影响的显著性在于，寿险公司经营利润的主要决定方面在保单利润，通过保单利润敏感性分析得出的结论，保单利润状况的主要决定因素是利率，利率的一个很小的波动即可使得保单利润发生较大的变化。因而寿险利差损风险将明显影响到寿险经营的利润。寿险公司每年度提存的责任准备金数额大小直接影响当年的利润核算，责任准备金的数额将直接冲减当年利润。寿险责任准备金的数额跟采用的评估方法和选取的评估假设有很大的关系，尤其是，评估假设在量上轻微的变化将引起准备金数额较大的增减。法定准备金评估注重的是责任准备金评估的谨慎性。寿险利?
We live in a probable world. "Probability" problem rises from the variability of objective world and our unability to cognize it in subject totally and immediately. Man has struggled with "probability" throughout a whole process of mankind society. Mathematical technology becomes the main instrument with which people cognize and control probability when mankind society steppes up into rational civilization. Our cognition is more close to the nature of things by quantitative analyze. We can forecast future result through past experience, but its feasibility depends on the existence of past experience data.
What the thesis studies is Interest spread risk of life insurance. 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. The thesis lays emphasis on quantitative analyze and theoretical study in method and technology. Writer hopes the thesis can dedicate to life insurance practical operation in our country.
The main train of thought of the thesis:
The thesis starts from the causes of interest spread risk of life insurance, and especially discusses the situation in our country; Secondly, going on quantitative analyze: 1) measuring risk amount of interest
spread of life insurance by using law of probability mathematical method, 2) analyzing influence factors on risk amount of interest in terms of risk amount measuring and actuarial policy profits sources analyzing; Thirdly, inquiring into methods of forecasting interest spread loss of life insurance business, including in total business and in different business respectively; Fourthly, the thesis discusses the influences of interest spread risk on life insurance operation. Investment return rate of life insurance capital is crucial to policy profits, which is concluded from sensitive analyzing of present value of policy profits. Life insurance company's profitability relays on policy profits. Again, life insurance company's business profitability is influenced by interest spread risk along with its after effect on reserve valuation of life insurance; Lastly, two risk prevention schemes are taken out: designing unfixed credit interest policies and making allowance for interest spread risk cost in pricing.
The main content of the thesis including four chapters:
Chapter one, the causes of interest spread risk of life insurance. In need of limiting studying scope of the thesis, writer gives a definition to interest spread risk of life insurance and explains its rationality and fitness. "Policy ordered fixed credit interest rate" in definition just fits for traditional fixed cost policy. Interest spread risk is liable to traditional fixed cost policy, so definition takes it. In order to make the definition
clearer to readers, the thesis compares Interest spread risk with Interest
risk of insurance. The direct causes of Interest spread risk are unfavorable or negative interest spread and the uncertainty or wobble of future investment return rate of life insurance capital. Now interest spread risk exists universally in life insurance business carried out early in our country. The thesis discusses its special causes.
Chapter two, measuring interest spread risk. The mathematical descriptions of Interest spread risk differ with pricing methods of life insurance products. There is not anticipated profits composition in price structure with Cost plus method, so we can take standard variation of actuarial present value of life insurance to describe risk amount. Pricing with Cash flow method, we can more directly measure risk amount with standard variation of present value of policy profits. Using central limit theorem, we can estimate how much probability total present value of policy profits of a sort of policies exceeds its expectation by some certain value. The length of term of premium payment influences amount of interest spread risk. Generally, single premium
本论文的研究对象是寿险利差损风险，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宏观的角度进行了较为充分的研究，但定量研究的为数不多。本论文则侧重于对寿险利差损风险的定量分析和在产品设计、产品定价、保单现金流及保单利源等微观机制层面上的分析。另外，本论文的研究侧重于方法和技术的理论性探讨。作者希望本论文的研究能够对我国寿险经营实务做出一点贡献。
论文的基本思路：
论文首先讨论了寿险利差损风险产生的原因，并着重分析了我国目前寿险利差损风险的成因；其次，对寿险利差损风险进行了定量分析，包括1）以概率论作为数学基础对寿险利差损风险的度量，2）从风险度量的角度和寿险精算利源分析的角度分析影响寿险利差损风险额度的因素；接着探讨寿险业务利差损的预测方法，主要从两方面进行预测：总体业务的预测和不同类别业务的分别预测；然后论文讨论
寿险利差损风险对寿险经营的影响，论文论证了寿险经营利润的主要决定方面在于保单盈利，通过保单利润现值的敏感性分析得出结
论，保单盈利又主要在利差方面的盈利，由此可见寿险利差损风险对寿险经营利润影响的显著性。寿险利差损风险对寿险经营利润的影响还来自于它对寿险公司责任准备金评估的影响结果。进而，论文讨论了寿险利差损风险对寿险公司责任准备金评估的影响，得出寿险利差损风险影响寿险经营利润的进一步结论；论文最后探讨了寿险利差损风险的防范策略，基于论文前面部分的讨论结果，论文提出了防范寿险利差损风险的两个策略：非固定信用利率保单的设计和定价对寿险利差损风险成本的考虑。
论文各章的主要内容：
第一章寿险利差损风险的生成机理。鉴于限定研究对象及其范围的需要，作者给寿险利差损风险的内涵予以了界定。寿险利差损风险的内涵为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。作者分析了如此界定寿险利差损风险内涵的合理性及适用性，特别指出定义中采用的保单预定利率的称谓只适用于固定成本的寿险保单，而更具普适性的应以保单信用利率代替保单预定利率，因寿险利差损风险更易于发生于固定成本的保单，故而才采用保单预定利率的说法。由于寿险利差损风险与寿险利率风险的概念相近，为了进一步明确本论文的研究对象，论文特别地将寿险利差损风险与寿险利率进行了比较。寿险利差损风险产生的直接原因是不利的或负的利差与寿险资金收益率的不确定性和波动性。目前，寿险利差损风险在我国早期开展的寿险业务中普遍存在，本论文对我国寿险利差损风险的特殊成因进行了分析。
第二章寿险利差损风险的描述与测度。寿险利差损风险的度量因定价方法的不同而采用不同的数学描述。由于以保费附加法定价的寿险保单价格结构中不含有保单预期利润成分，故而以寿险精算现值的标准差来度量寿险利差损风险。以现金流量法定价，则可以保单利润现值的标准差来度量风险。并且，利用中心极限定理，我们还可以估算寿
险公司某一类保单组合总利润现值偏离其期望某一特定值或偏离不超过某一特定值的概率。不同险种类别的保单利润现值标准差是不同的。缴费方式也影响着寿险利差损风险的额度，一般趸缴保费方
式的风险高于年缴保费方式的风险，论文中对此予以了证明。从寿险利源分析的角度，我们得出影响寿险利差损风险大小的三个因素：1）当年利差大小，2）期初责任准备金大小，3）期初保单积累盈余大小。对寿险公司总体业务利差损预测可采用责任准备金方法和现金流量方法。对不同业务的利差损预测通过测算该业务保单利润现值完成，论文以一种年金业务为具体例子介绍该方法的操作过程。
第三章寿险利差损风险对寿险经营的影响。寿险利差损风险对寿险经营利润影响的显著性在于，寿险公司经营利润的主要决定方面在保单利润，通过保单利润敏感性分析得出的结论，保单利润状况的主要决定因素是利率，利率的一个很小的波动即可使得保单利润发生较大的变化。因而寿险利差损风险将明显影响到寿险经营的利润。寿险公司每年度提存的责任准备金数额大小直接影响当年的利润核算，责任准备金的数额将直接冲减当年利润。寿险责任准备金的数额跟采用的评估方法和选取的评估假设有很大的关系，尤其是，评估假设在量上轻微的变化将引起准备金数额较大的增减。法定准备金评估注重的是责任准备金评估的谨慎性。寿险利?
We live in a probable world. "Probability" problem rises from the variability of objective world and our unability to cognize it in subject totally and immediately. Man has struggled with "probability" throughout a whole process of mankind society. Mathematical technology becomes the main instrument with which people cognize and control probability when mankind society steppes up into rational civilization. Our cognition is more close to the nature of things by quantitative analyze. We can forecast future result through past experience, but its feasibility depends on the existence of past experience data.
What the thesis studies is Interest spread risk of life insurance. 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. The thesis lays emphasis on quantitative analyze and theoretical study in method and technology. Writer hopes the thesis can dedicate to life insurance practical operation in our country.
The main train of thought of the thesis:
The thesis starts from the causes of interest spread risk of life insurance, and especially discusses the situation in our country; Secondly, going on quantitative analyze: 1) measuring risk amount of interest
spread of life insurance by using law of probability mathematical method, 2) analyzing influence factors on risk amount of interest in terms of risk amount measuring and actuarial policy profits sources analyzing; Thirdly, inquiring into methods of forecasting interest spread loss of life insurance business, including in total business and in different business respectively; Fourthly, the thesis discusses the influences of interest spread risk on life insurance operation. Investment return rate of life insurance capital is crucial to policy profits, which is concluded from sensitive analyzing of present value of policy profits. Life insurance company's profitability relays on policy profits. Again, life insurance company's business profitability is influenced by interest spread risk along with its after effect on reserve valuation of life insurance; Lastly, two risk prevention schemes are taken out: designing unfixed credit interest policies and making allowance for interest spread risk cost in pricing.
The main content of the thesis including four chapters:
Chapter one, the causes of interest spread risk of life insurance. In need of limiting studying scope of the thesis, writer gives a definition to interest spread risk of life insurance and explains its rationality and fitness. "Policy ordered fixed credit interest rate" in definition just fits for traditional fixed cost policy. Interest spread risk is liable to traditional fixed cost policy, so definition takes it. In order to make the definition
clearer to readers, the thesis compares Interest spread risk with Interest
risk of insurance. The direct causes of Interest spread risk are unfavorable or negative interest spread and the uncertainty or wobble of future investment return rate of life insurance capital. Now interest spread risk exists universally in life insurance business carried out early in our country. The thesis discusses its special causes.
Chapter two, measuring interest spread risk. The mathematical descriptions of Interest spread risk differ with pricing methods of life insurance products. There is not anticipated profits composition in price structure with Cost plus method, so we can take standard variation of actuarial present value of life insurance to describe risk amount. Pricing with Cash flow method, we can more directly measure risk amount with standard variation of present value of policy profits. Using central limit theorem, we can estimate how much probability total present value of policy profits of a sort of policies exceeds its expectation by some certain value. The length of term of premium payment influences amount of interest spread risk. Generally, single premium
引文
1.《利息理论》 S.G.凯利森 尚汉冀 译 上海科学技术出版社1995年
2.《精算数学》 N.L.鲍尔斯等 余跃年 郑韫瑜 译
上海科学技术出版社1995年
3.《人寿保险数学》汉斯 U.盖博 [瑞士] 世界图书出版公司1996年
4.《寿险精算原理》章琪 朱文革 上海财经大学出版社1997年
5.《寿险精算学》 雷宇 北京大学出版社1998年
6.《寿险精算原理》 李晓林 中国财政经济出版社1999年
7.《风险统计》 李晓林 经济科学出版社1999年
8.《保险经营风险防范机制研究》卓志 西南财经大学出版社1998年
9.《人寿保险经济引论》卓志 中国金融出版社2001年
10.《寿险精算实务》 中国精算师资格考试教材
南开大学出版社2000年
11.《商业年金保险理论与实务》方明川 [台湾]
首都经济贸易大学出版社2000年
12.《保险会计与风险管理》 龚兴隆 中国审计出版社2000年
13.《统计与精算》 人大复印资料
14. 《经济发展中金融的贡献与效率》 王广谦
中国人民大学出版社1997年
15. 《中国金融年鉴》各年
16. 《寿险责任准备金的评估利率和会计谨慎性原则》魏迎宁
1998年9月《会计研究》
17. 《谈谈对寿险责任准备金的管理》董实 1999年3月《保险研究》
18.Zaks: "An determinate annuity under stochastic interest rate",
in Insurance and Mathematics 2001
19.Kennth Black, Jr. and Harold D. Skipper, Jr.:
"Life insurance" The Twelfth Edition
2.《精算数学》 N.L.鲍尔斯等 余跃年 郑韫瑜 译
上海科学技术出版社1995年
3.《人寿保险数学》汉斯 U.盖博 [瑞士] 世界图书出版公司1996年
4.《寿险精算原理》章琪 朱文革 上海财经大学出版社1997年
5.《寿险精算学》 雷宇 北京大学出版社1998年
6.《寿险精算原理》 李晓林 中国财政经济出版社1999年
7.《风险统计》 李晓林 经济科学出版社1999年
8.《保险经营风险防范机制研究》卓志 西南财经大学出版社1998年
9.《人寿保险经济引论》卓志 中国金融出版社2001年
10.《寿险精算实务》 中国精算师资格考试教材
南开大学出版社2000年
11.《商业年金保险理论与实务》方明川 [台湾]
首都经济贸易大学出版社2000年
12.《保险会计与风险管理》 龚兴隆 中国审计出版社2000年
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