基于随机死亡率的长寿风险定价研究

发布时间：2019-01-12 11:19

【摘要】：随着生活水平的提高、医疗卫生条件的改善,中国人口的死亡率逐年下降,人均预期寿命延长导致中国人口年龄结构逐步转向老龄化,人口老龄化问题使我国养老保险计划的支付期延长,负债日益增加,由此产生了长寿风险。长寿风险是一种系统性风险,养老保险计划提供者承担长寿风险应得到包含该风险溢价的回报,而当前养老金产品的定价仍以固定的死亡率作为精算假设,并未考虑到未来死亡率的随机变动和动态改善,于是寿命延长金造成年金产品的费率被低估,对年金产品提供者的财务稳定性构成严重威胁。研究长寿风险的测度定价,有助于对其进行管理,具有重要的理论价值和现实意义。长寿风险的合理测度以准确的未来死亡率变动预测数据为前提,考虑到中国历史死亡率数据有限,文章对传统的Lee-Carter模型进行了改进,运用经验死亡率数据对改进后的模型进行了拟合和预测,结果较为理想；再以寿险公司个人年金产品蕴含的长寿风险为测度对象,基于死亡率预测数据调整现有养老金业务表,使之包含死亡率的动态改善,然后分析了长寿风险对个人年金精算现值变动的影响和现值变动率的利率敏感度,结果表明寿险公司面临着年金产品定价过低的风险；接着用wang转换方法对个人年金的长寿风险进行测度,结果表明寿险业个人年金趸缴纯保费的市场价格包含了长寿风险的溢价回报,且长寿风险的价格随着投保年龄的增加而下降。最后,针对分析结果提出了可行的管理长寿风险的对策建议：运用更为精确的预测死亡率模型并及时修订生命表；修订年金现值精算模型；编制合理的死亡率指数；大力发展中国金融衍生品尤其是死亡率指数衍生品市场等。
[Abstract]:With the improvement of living standards and the improvement of medical and health conditions, the mortality rate of China's population has decreased year by year, and the prolongation of life expectancy has led to the gradual change of the age structure of China's population to an aging population. The aging of the population makes the payment period of the pension insurance plan of our country prolong and the liabilities increase day by day, which brings about the risk of longevity. Longevity risk is a systemic risk that the provider of the pension plan should receive a return that includes the risk premium, while the current pricing of the pension product is still based on a fixed mortality rate as an actuarial assumption. Without taking into account the random changes and dynamic improvements in future mortality rates of annuity products are undervalued and pose a serious threat to the financial stability of annuity product providers. It is of great theoretical and practical significance to study the measurement and pricing of longevity risk, which is helpful to its management. The reasonable measure of longevity risk is based on accurate prediction data of future mortality change. Considering the limited historical mortality data in China, this paper improves the traditional Lee-Carter model. The improved model was fitted and predicted with empirical mortality data, and the results were satisfactory. Then taking the longevity risk contained in the personal annuity product of life insurance company as the measure object, based on the mortality forecast data, the existing pension business table is adjusted to include the dynamic improvement of the mortality rate. Then it analyzes the influence of longevity risk on the change of actuarial present value of personal annuity and the interest rate sensitivity of present value change rate. The result shows that life insurance company faces the risk of underpricing annuity products. Then we use wang transformation method to measure the longevity risk of personal annuity. The result shows that the market price of net premium of individual annuity in life insurance industry includes the premium return of longevity risk. And the price of longevity risk decreases as insurance age increases. Finally, according to the results of the analysis, the author puts forward some feasible countermeasures to manage the risk of longevity: using a more accurate mortality model and revising the life table in time, revising the actuarial model of the present value of the annuity, compiling a reasonable mortality index; Vigorously develop China's financial derivatives, especially mortality index derivatives market.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F840.4;F224

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