【作者】 刘蕾；

【导师】 钱林义；

【作者基本信息】 华东师范大学 ， 统计学， 2021， 硕士

【摘要】 在西方国家,近年来由于人均预期寿命的延长、长期低利率的市场环境以及养老金会计准则的变化,固定收益养老金计划出现资金缺口的风险日益加剧,这将导致许多参与计划的员工在退休后无法领取到与承诺相一致的养老金。为保障员工的利益,许多公司选择向保险公司购买buy-in保险或buy-out保险,从而部分或全部地消除养老金计划出现资金缺口的风险。本文主要研究了buy-in保险的定价问题。在前人研究的buy-in保险定价模型基础之上,我们调整了养老金资产的表达式,使其变化更符合实际情况。此外,我们还考虑了政府干预因素对buy-in保险价格公式的影响,并使用蒙特卡洛模拟方法给出buy-in保险价格的数值解。借助敏感性分析,我们观察模型参数的改变对buy-in保险价格的影响,发现长期均值利率以及初始死亡力的上升均会导致buy-in保险价格的下降,保险公司初始资产占负债的比重的上升会导致buy-in保险价格先升高再下降、最终趋于平稳。由于buy-in保险的价格本质上反映了养老金计划所蕴含的长寿风险、利率风险以及投资风险等风险的价格,对其进行研究也会对我国养老保险基金的风险管理具有一定的启示意义。更多还原

【Abstract】 In recent years,due to the extension of life expectancy,the long-term low interest rate and the change of pension accounting standards in western countries,the pension fund deficit risk in the defined benefit plan is increasing,which will lead to many members of the plan cannot receive the committed pension after retirement.To protect the interests of employees,many companies choose to buy pension buy-ins or buy-outs from insurance companies,so as to partially or completely eliminate the pension fund deficit risk.The paper mainly studies the pricing of pension buy-ins.Based on the prior studies about the pricing model of pension buy-ins,we revise the formula of pension assets to make it more realistic.Besides,we consider the influence of government intervention on the pricing formula of pension buy-in.Finally,we give the numerical solution of the pension buy-in price by using Monte Carlo simulation method.Through the sensitivity analysis,we observe the influence of changing model parameters on the price.We find that the rise of long-term average interest rate and initial mortality will both lead to the decline of the price of pension buy-in.The rise of initial proportion of assets in liabilities of an insurance company will lead to the price of pension buy-in rise first,then decline,and finally stabilize.Because the price of pension buy-in reflects the price of longevity risk,interest risk and investment risk embedded in the pension plan,our research will have some enlightenment for the risk management of Chinese pension funds.更多还原