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A Study on Life Insurance Reserves under the Environment of Stochastic Interest Rates and Mortality

Author: LuoBaiWen
Tutor: QiYiYing；HanYueCai
School: Jilin University
Course: Finance
Keywords: Reserve Stochastic interest rates Random mortality Expected loss variable
CLC: F822.0;F842
Type: Master's thesis
Year: 2010
Downloads: 163
Quote: 0
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Abstract


The insurance industry in China is an emerging industry , the reform and opening up three decades , we have witnessed the rapid development of the industry . The increasing maturity of the actuarial theory has laid a solid foundation for the development of the insurance industry . The life insurance reserve calculation is a focus and difficulty of the actuarial theory . Many scholars at home and abroad on this issue conducted in-depth research reserve funds is extracted by the insurance companies in order to cope with the future to cope with the responsibility . The extract less reserve , the solvency of insurance companies will appear , ready to more gold extraction , part of the funds will make insurance companies stranded , is not conducive to the development of the company's . Life insurance companies at this stage of the calculation of the reserve is mainly stays in a fixed interest rate and determine mortality , this paper mainly discusses the life insurance reserves calculated under stochastic interest rates and stochastic mortality environment , and cost insurance companies and the years of premiums paid into account using autoregressive equation modeling, stochastic interest rates and body characteristics and habits of the insured , the mortality uncertain of . Finally, using this method , the calculated reserve of a group of policyholders , and made ??a comparison and does not consider the policy payment years and cost .

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CLC: > Economic > Fiscal, monetary > Insurance > China's insurance industry
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