【作者】 王福新； 易丹辉；

【Author】 WANG Fu-xin, YI Dan-hui (Department of Statistics,People’s University of China,Bejing 100872,China)

【机构】 中国人民大学统计学系；

【摘要】 本文通过对寿险产品结构的分析,介绍未定权益模型的基本原理,利用未定权益模型对产品中隐含的各种选择权价值进行定价,并结合资产负债管理国想,探讨该模型在寿险企业资产负债管理中的应用和应注意的问题。更多还原

【Abstract】 On the basis of analyzing structure of life insurance products, we mainly discuss basic principle of contingent claims model and how to price many options embodied in life insurance products.Then combined with the ideal of asset liability managementwe, we discuss how this model could be used to asset liability management in Iife insurance company and the questions which should be considered.更多还原