长寿风险证券化的定价模型研究

发布时间：2018-03-31 01:23

本文选题：长寿风险　切入点：长寿互换　出处：《吉林大学》2014年硕士论文

【摘要】：随着我国人口老龄化趋势的加剧，长寿风险已成为现代养老保险体系发展所面临的重要风险，长寿风险是指人的实际寿命超过预期寿命所带来的未来养老金缺口的风险。人口寿命延长将使保险公司或社会养老保险机构的养老金未来给付年限和给付额度增加,导致负债大于资产的风险，出现养老金缺口，危及社会安定。因此作为社会养老保险提供者的政府和保险企业机构越来越重视长寿风险，积极寻找长寿风险的管理方法。长寿风险证券化是一种在保险风险证券化的基础上发展起来的管理长寿风险的金融工具，是指寿险公司通过长寿债券的发行或长寿互换等方式，将死亡率及债券的收益紧密联系，从而将长寿风险转移到资本市场的证券化过程。与传统的长寿风险管理方法相比，长寿风险证券化成本更低、风险承担能力更强、与长寿风险在时间上的匹配更好；同时长寿风险证券化产品的出现为保险金的运作提供了新的方向，也使投资者有了新的投资方式选择，能够使资本市场风险的降低。定价模型是长寿风险的证券化研究颇为重要的内容。长寿风险的定价是建立在生存概率模型的基础上，生存概率模型需要通过死亡率模型得到。因此，长寿风险的研究主要集中在死亡率模型的预测上。本文将从长寿风险的内涵入手，，阐述长寿风险的产生原因、影响以及传统的长寿风险管理方式，并指出这些传统方法的不足，从而引出长寿风险证券化的管理方法。接着将详细介绍长寿风险证券化的含义及三种证券化工具，并对其一般形式及运行机制进行阐述；重点介绍长寿互换的分类及运行机制，并分析其优缺点。最后将以长寿互换为例，对其定价模型进行建模，通过检验得出贝叶斯MCMC能够对我国人口统计数据进行更好的拟合的结论。
[Abstract]:With the increasing trend of aging population in China, longevity risk has become an important risk faced by the development of modern old-age insurance system. Longevity risk refers to the risk of a future pension gap caused by a person's actual life span exceeding life expectancy. An increase in the population's life span will increase the number of years and the amount of future pension benefits to be paid by insurance companies or social pension insurance institutions. Therefore, the government and insurance enterprises, as providers of social pension insurance, pay more and more attention to the risk of longevity and actively look for the management method of longevity risk. Longevity risk securitization is a kind of financial tool for managing longevity risk, which is developed on the basis of insurance risk securitization. The long life risk is transferred to the securitization process of the capital market. Compared with the traditional longevity risk management method, longevity risk securitization has lower cost and stronger risk bearing capacity. At the same time, the emergence of securitization products of longevity risk provides a new direction for the operation of insurance funds and gives investors a new choice of investment mode. Pricing model is an important part of securitization research on longevity risk. The pricing of longevity risk is based on survival probability model. The survival probability model needs to be obtained by the mortality model. Therefore, the study of longevity risk is mainly focused on the prediction of mortality model. This article will start with the connotation of longevity risk, expound the reason, influence and traditional management method of longevity risk, and point out the deficiency of these traditional methods. Then the meaning and three securitization tools of longevity risk securitization are introduced in detail, and its general form and operation mechanism are expounded, and the classification and operation mechanism of longevity risk securitization are introduced in detail. Finally, taking the longevity swap as an example, the pricing model is modeled, and the conclusion that Bayesian MCMC can better fit the demographic data of our country is obtained by testing.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F842.67

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