人寿年金产品偿付能力的计量

IF 0.5 Q4 BUSINESS, FINANCE

International Journal of Theoretical and Applied Finance Pub Date : 2022-02-21 DOI:10.1142/s0219024922500030

P. N. Diffouo, P. Devolder

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引用次数: 0

摘要

在本文中，我们通过计算给定年金的偿付能力资本和投资策略来衡量市场和保险公司承担的寿命风险。为此，我们提出了投资策略，以减少保险公司的偿付能力资本，并提高股东投资特定年金的内部回报率。从数值上研究了偿付能力资本和内部收益率对一些重要参数的敏感性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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SOLVENCY MEASUREMENT OF LIFE ANNUITY PRODUCTS

In this paper, we measure the market and the longevity risks borne by an insurer by computing their solvency capital for a given annuity and within an investment strategy. For this purpose, we propose the investment strategy in such a way as to mitigate the solvency capital of the insurer and improve the internal rate of return of a shareholder investing on a given annuity. Numerically, we study the sensitivity of both the solvency capital and the internal rate of return with respect to some significant parameters.

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来源期刊

International Journal of Theoretical and Applied Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

20.00%

发文量

期刊介绍： The shift of the financial market towards the general use of advanced mathematical methods has led to the introduction of state-of-the-art quantitative tools into the world of finance. The International Journal of Theoretical and Applied Finance (IJTAF) brings together international experts involved in the mathematical modelling of financial instruments as well as the application of these models to global financial markets. The development of complex financial products has led to new challenges to the regulatory bodies. Financial instruments that have been designed to serve the needs of the mature capitals market need to be adapted for application in the emerging markets.