《保险研究》20210505-《中小企业年金基金超额收益率的影响动因》（初立苹、陈选娟、曾韵）

［摘   要］本文在马尔科夫体制转换模型下探究了变额年金的风险管理问题。保险产品的长期性使其易受到经济周期的影响,马尔科夫体制转换模型因在描述经济周期变化的卓越表现而受到学界和业界的广泛关注。分析显示,在我国马尔科夫体制转换模型相对于Black-Scholes模型在捕获资产变化特征上具有优势。本文利用体制转换模型建模投资账户价值,推导最低身故利益保证和最低到期利益保证债务的在险价值和条件尾部期望的解析表达式。将两个估计模型应用到最低利益保证年金上,发现Black-Scholes模型往往低估最低利益保证年金需要的风险资本,这种结果与Black-Scholes模型下资产收益的薄尾特征是一致的。另外,通过将模型参数分为与体制转换相关参数和与体制转换无关参数,本文也分析了风险测度对两类参数的敏感度,极大地丰富了现存关于最低利益保证年金风险管理的研究。

［关键词］最低利益保证；体制转换；在险价值；条件尾部期望

［基金项目］国家自然科学基金面上项目(71671094)。

［作者简介］李冰清,西南财经大学保险学院教授、博士生导师；张天齐,南开大学金融学院博士研究生。

Risk Management of Variable Annuity under the Markov Regime Switching Model

LI Bing-qing,ZHANG Tian-qi

Abstract：This paper investigated the risk management of variable annuity under the Markov regime switching model. Due to its long-tail nature,insurance products are vulnerable to economic cycles,the Markov regime switching model has drawn wide attention of the academic circle and the insurance industry due to its outstanding performance in describing the change of economic cycles. Fitting models to the market data,we confirmed the superiority of the Markov regime switching model over the Black-Scholes model in capturing characteristics of asset changes. The Markov regime switching model was used to model the value of investment account,and the closed-form solutions for value at risk and conditional tail expectation of minimum death guaranteed benefits and minimum maturity guaranteed benefits were derived. Applying the two estimation models to annuity with minimum guaranteed benefits,it was found that the Black-Scholes model often underestimated the risk capital that annuity with minimum guaranteed benefits needed,which was consistent with the thin-tail characteristic of asset return under the Black-Scholes model. In addition,by dividing model parameters into parameters related to regime switching and parameters unrelated to regime switching,the paper also analyzed the sensitivity of risk measurements to these two kinds of parameters,which greatly enriched the existing research on the risk management of annuity with minimum guaranteed benefits.

Key words：minimum guaranteed benefits; regime switching; value at risk; conditional tail expectation