《保险研究》20230204-《未到期责任准备金久期的计算研究》（高洪忠、石淼易）

［摘   要］根据监管要求,保险公司应计算非寿险业务的负债久期,对久期大于一年的业务应选取适当的折现率对业务的现金流进行折现。基于以上需求,文章从精算原理出发,对现行我国非寿险业务未到期责任准备金久期的常用计算方法进行了调研和分析,发现目前的计算方法存在一定的不合理之处。文章基于严格的数学推导,给出了未到期责任准备金的久期计算公式,并在合理的假设下对该计算公式进行了简化,提高了结果的实用性。文章最后通过一个实例,对未到期责任准备金久期的计算进行了说明,并将计算结果与目前我国非寿险行业所采用的几种方法得到的结果进行了对比。对比结果表明,我国非寿险行业现行普遍采用的久期计算方法对未到期责任准备金的久期存在着低估的现象。

［关键词］非寿险；未到期责任准备金；久期；剩余边际

［作者简介］高洪忠，中央财经大学保险学院副教授；石淼易（通讯作者），中央财经大学保险学院硕士研究生。

A Research on Duration Calculation for Unearned Premium Reserve

GAO Hong-zhong,SHI Miao-yi

Abstract：To meet the regulatory requirements,the insurance company should calculate the duration of liabilities for non-life insurance business.For businesses with durations longer than 1 year,it should discount their future cash flow with an appropriate discount rate.Base on these considerations,and combined with actuarial principles,this paper conducts a research and analysis on common calculation methods for the duration of unearned premium reserves,and finds some limitations in the current calculation method.It then follows strict mathematical derivation to arrive at a more accurate calculation method,and simplifies the formula under reasonable assumptions to make it more practical in actual practices.At last,this article presents an example to illustrate how to calculate the duration of unearned premium reserve,and compares the result with that of current common methods in the non-life insurance industry.The comparison indicates that the current methods underestimate the duration of unearned premium reserve.

Key words：non-life insurance;unearned premium reserve;duration;residual margin