Valuation of guaranteed unitized participating life insurance under MEGB2 distribution
报 告 人:: 郑海涛
报告地点:: 数学与统计学院四楼报告厅
报告时间:: 2017年12月21日星期四15:15-16:00

Crisis events have significantly changed the view that extreme events in financial markets have negligible probability. Especially in the life insurance market, the price of guaranteed participating life insurance contract will be affected by a change in asset volatility which leads to the fluctuations in embedded option value. Considering the correlation of different asset prices, MEGB2 (Multivariate exponential generalized beta of the second kind) distribution is proposed to price guaranteed participating life insurance contract which can effectively describe the dependence structure of assets under some extreme risks. Assuming the return rates of two different assets follow the MEGB2 distribution, a multi-factor fair valuation pricing model of insurance contract is split into four components: the basic contract, the annual dividend option, the terminal dividend option, and the surrender option. This paper studies the effect of death rate, minimum guaranteed yield rate, annual dividend ratio, terminal dividend ratio and surrender on the embedded option values and calculates the single premium of the insurance contract under different influence factors. The Least-Squares Monte Carlo simulation method is used to simulate the pricing model. Finally, this article makes a comparison in the sensitivity of the pricing parameters under the MEGB2 distribution and Multivariate Normal distribution asset returns.

发 布 人:科研助理 发布时间: 2017-12-13
郑海涛,博士。北航经管学院副教授。主要研究方向:经济统计学;极值分布与保险产品定价;企业财务困境预测。中国系统工程学会服务系统工程分会理事。2001年于北航管理学院获经济学学士;2006年3月于北航经管学院获管理科学与工程专业博士学位。2006年4月至今在北航经管学院任教。2006年获得北航科研“蓝天新秀”,2010年获得北航科研“蓝天新星”和花旗奖教金。2010.11-2011.2在日本一桥大学经济研究所访学,2015.7-2016.6在美国威斯康星大学统计系访学。目前或曾主持国家自然科学基金项目2项、国家科技支撑计划子项目1项,北京市哲学社会科学规划项目1项,教育部人文社会科学项目2项,保监会部级研究课题1项,中央高校科研业务项目2项、985人才支持项目2项等。在Economic System Research, Journal of Applied Statistics, Soft Computing, 《经济研究》, 《管理科学学报》等国内外期刊上发表论文60多篇,在航空工业出版社出版学术专著1部(合著),在科学出版社出版学术专著3部(合著)。