基于整体长寿风险的长寿债券的设计与定价

发布时间：2018-07-11 17:13

本文选题：长寿债券 + Lee-Carter模型　；参考：《天津财经大学》2012年硕士论文

【摘要】：近半个世纪以来,人口死亡率的下降逐渐成为各个国家普遍存在的现象。整体长寿风险是指群体人口的预期寿命上升使得政府和企业的负担加重的风险以及人口死亡率下降的速度高于制定年金产品价格时所预定的速度而造成的保险公司亏损的风险。长寿风险在不同领域有着不同的存在形式。文章主要研究的是寿险公司的年金保险业务中的长寿风险对冲。文章从金融工程的角度,设计了用来对冲长寿风险的金融工具——长寿债券,依靠有着很大风险池化能力的资本市场对冲长寿风险。围绕上述目的,文章的研究工作主要包括三个部分：第一部分：在广泛搜集与研读国内外相关文献的基础上,对各种长寿债券的种类和设计机制进行总体归纳；然后具体分析了市场上出现的第一支长寿债券——EIP/BNP债券,对其设计机制和存在问题进行评价分析。在此基础上,对寿险公司的年金保险业务和发行长寿债券进行现金流分析,利用长寿债券的收益对冲寿险业务中的长寿风险,从而构建长寿债券的设计框架。第二部分：建立长寿债券定价模型。首先,选取Lee-Carter死亡率模型对我国的人口死亡率进行拟合和预测,构建人口生存指数；然后,考虑到长寿债券市场的不完备性,利用Wang风险转换模型对与生存指数相关的现金流分布进行风险调整；最后利用GARCH模型拟合我国短期利率的期限结构,得出贴现因子,利用现金流贴现模型对长寿债券定价。第三部分：根据长寿债券定价模型,为寿险公司设计一款长寿债券实例,利用我国生命表数据计算债券价格,并进行参数敏感性分析,考察长寿债券分散长寿风险的效果。综上所述,文章着眼于寿险业务中的长寿风险并借助资本市场的风险分散功能,设计了一款长寿债券并进行实证分析。结果表明,长寿债券可以有效地对冲长寿风险,而且当寿险公司面临的长寿风险变大时,长寿债券具有更大的风险对冲能力。最后,文章展开了我国建立养老金融市场的讨论和政策建议,以期更好地补充和完善我国的养老体系。
[Abstract]:Over the past half century, the decline of population mortality has gradually become a common phenomenon in various countries. The risk of overall longevity refers to the risk that the rising life expectancy of the population increases the burden on the government and enterprises and that the mortality rate of the population decreases faster than the predetermined rate when the price of annuity products is set, which results in the loss of insurance companies. Longevity risk has different forms in different fields. This paper mainly studies longevity risk hedging in annuity insurance business of life insurance companies. From the point of view of financial engineering, this paper designs a financial tool to hedge longevity risk-longevity bond, which is based on the capital market with great risk pool ability to hedge longevity risk. The research work of this paper includes three parts: the first part: on the basis of extensive collection and study of domestic and foreign related literature, the types and design mechanism of various longevity bonds are summarized as a whole; Then the first longevity bond, EIP / BNP bond, is analyzed in detail, and its design mechanism and existing problems are evaluated and analyzed. On the basis of this, the cash flow analysis of life insurance company's annuity insurance business and issuing longevity bond is carried out, and the income of longevity bond is used to hedge the longevity risk in life insurance business, so as to construct the design frame of longevity bond. The second part: the establishment of longevity bond pricing model. Firstly, the Lee-Carter mortality model is selected to fit and predict the population mortality in China, and then the population survival index is constructed, and then, considering the imperfections of the longevity bond market, Wang risk conversion model is used to adjust the risk of cash flow distribution related to survival index. Finally, GARCH model is used to fit the term structure of short-term interest rate in China, and the discount factor is obtained, and the discount cash flow model is used to price long-lived bonds. The third part: according to the longevity bond pricing model, a longevity bond is designed for the life insurance company. The bond price is calculated by using the life table data of our country, and the parameter sensitivity analysis is carried out to investigate the effect of the longevity bond dispersing longevity risk. To sum up, this paper focuses on the longevity risk in life insurance business and with the help of the risk dispersion function of capital market, designs a longevity bond and makes an empirical analysis. The results show that longevity bonds can effectively hedge longevity risks, and longevity bonds have greater risk hedging ability when the longevity risks faced by life insurance companies become greater. Finally, the paper discusses the establishment of old-age financial market in China and puts forward some policy suggestions in order to complement and perfect the pension system.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F842.6;F224

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