Vasicek模型下寿险责任准备金评估

在假定寿险产品定价利率固定,准备金评估利率基于长期国债收益率且符合Vasicek模型等前提下,该模型适合我国目前的长期国债收益率。然后推导出随机利率下全离散型寿险责任准备金评估公式,并以Vasicek模型为例,使用蒙特卡罗模拟方法计算出准备金分布,同时对准备金在利率波动条件下的充足性做出分析。

Appraisal of Life Insurance Reserve Under the Vasicek Model

In the premise that the pricing interest rate of life insurance products is fixed,the interest rate of reserve appraisal is based on long-term yield of state debt and accords with Vasicek model,the model is fit for the long-term state debt yields at present in our country.Then the authors deduce the formula for appraising the dispersing life insurance liability reserve in stochastic interest rate,take Vasicek model as an example to figure out reserve distribution with the Monte Carlo simulation method and at the same time analyze the sufficiency of the reserve in the condition of interest rate fluctuation.