Characteristic Analysis of Insurance Stochastic interest rate based on nonparametric estimation Statistical Model
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DOI: 10.23977/EMCG2020.024
Author(s)
Xiaoya Sun, Lanxi Zhan, Jiangchuan Zhang
Corresponding Author
Xiaoya Sun
ABSTRACT
How to adapt to the participation of migrant workers in China's basic old-age insurance system is an important challenge brought by large-scale population migration, of which the most important reform is to realize the transformation of social endowment insurance relationship. the biggest difficulty in the transition of old-age insurance relationship is the transfer of funds. In this paper, the stochastic interest rate which obeys the Hull-White model is introduced, and the insurance actuarial pricing of European options in the generalized Bmers model is discussed. By using the actual probability measure of the underlying asset price process and the fair premium principle, it is obtained that there are two cases in which there is no dividend payment during the option validity period. The insurance actuarial pricing formula of European options. considering that the insurance pricing of options depends on unknown model parameters-the volatility of the underlying asset price, the drift parameters of the stochastic interest rate process and the volatility parameters, using the observed data of asset prices and random interest rates, the insurance actuarial pricing formula based on model parameter estimation is given, and the consistency of the pricing formula is discussed. based on a standard person hypothesis. This paper empirically simulates the fund transfer dilemma of the current social endowment insurance relationship transition policy. The policy of non-transfer of funds reduces the potential benefits of the basic pension of the insured individuals, while the policy of capital transfer has the technical problem of discounting the risk of death and the realistic dilemma of uneven bitterness and happiness in different places. The fundamental way to solve the predicament and realize the effective transformation of social endowment insurance relationship is to realize the overall planning of the whole country.
KEYWORDS
Basic endowment insurance, Actuarial pricing, Generalized B-S model, Estimates