变额年金动态对冲策略的研究与实施

自2010年中国保监会允许国内试点变额年金市场之后,国内还没有相关文章对内部组合对冲模式下变额年金产品在精算领域面临的问题做出系统的阐述,本文在这方面给出了一套方法并结合实际进行了验证。通过经济情景发生器产生合理的经济情景,并基于假设的保单数据分析变额年金保证利益的合理定价区间;然后深入地讨论了动态对冲过程中各环节的设计并对结果进行分析,结果表明动态对冲可以显著降低各期损益以及累积损益的波动性;最后对变额年金的准备金和资本计算进行了国际比较,并给出了反映对冲与不反映对冲情况下的结果比较。

Dynamic Hedging of Variable Annuity and Its Implementation

Since the experimental launching of variable annuity(VA) product in China with the approval of CIRC,there has been no related article on internal hedging and relevant actuarial issues of VA.This article proposed a systematic and applicable method in this regard and performed back-testing using market data.We used our in-house built economic scenario generator to decide the price range of a typical VA product and analyzed the design of every components and the effectiveness of our proposed dynamic hedging strategy.It showed that the dynamic hedging strategy could effectively reduce the volatility of earnings in a specific period and the accumulated earnings.Finally,we made an international comparative study on reserving and capital calculation of VA product,and compared the reserving calculation results with and without dynamic hedging.