Research On The Risk Of Unit-linked Insurance Investment Guarantees Under Random Rate Model

Since the first unit-linked insurance was developed by Ping'an insurance company in China, with the insurance market in China developing quickly, the unit-linked insurance has been very popular. The most important feature of the unit-linked insurance is the separate account .The risk of investment moves from the insurer to the insured. But we must know that there are some investment guarantees in the unit-linked insurance, the investment guarantees made the insurer be in front of the risk. When the environment changes, there may be some bad impacts on the insurance company.The thesis investigates the insurance company's risk of the investment guarantees, and develops the rate model of the investment account. This method can estimate the investment rate in the future more precisely. The thesis uses the method of random simulation to evaluate the risk of the investment guarantees. The thesis contrasts and analyzes four rate models, and chooses the ARCH model to simulate the investment rate of the capital market in China. Then the thesis chooses a unit-linked insurance contract to do demonstration study, and gets the result and the distribution of the present value of contingent liability of the GMDB, then analyzes the factors which may have influences on the result. The result indicates that the insured's age, original premium, death benefit, death rate and the choice of the investment accounts can impact the contingent liability of the GMDB. The insurance company may get income or liabilities. For the contingent liabilities, the company should held capital for provision, and for the income, the company should analyze if it is from the high risk premium.So by this method, the insurance company can get more valuable information of the risk of the investment guarantees. And the information can help insurers improve their management and keep the company more stable.