基于双指数跳跃扩散模型的长寿债券定价研究

发布时间：2017-12-30 23:32

本文关键词：基于双指数跳跃扩散模型的长寿债券定价研究　出处：《中国管理科学》2017年09期 　论文类型：期刊论文

【摘要】：伴随着人均寿命的延长,人口老龄化带来的长寿风险问题成为世界各国必须面对的重要课题。长寿风险对各国的社保部门、寿险公司和政府造成了严重影响,如何有效地管理长寿风险成为学术界研究的焦点。鉴于已有长寿债券研究模型在考虑人口死亡率正负向不对称跳跃方面的不足,本文在Lee-Carter模型的基础上,采用双指数跳跃扩散模型对死亡率的正负向不对称跳跃进行刻画,并运用经典的CIR利率模型对长寿债券进行贴现,然后通过引入风险中性定价法给出不完全市场中的债券定价,使得定价更贴近真实市场。对人口死亡数据进行实证分析的结果表明,本文模型度量长寿风险的能力要明显优于已有模型。因此,应用本文模型进行债券定价,不仅可以提供更合理的定价,还可以提高寿险公司应对长寿风险的能力,从而促进寿险业在我国的进一步发展。
[Abstract]:With the prolongation of life expectancy, the problem of longevity risk brought by the aging of population has become an important issue all over the world. The risk of longevity has a serious impact on the social security sector, life insurance companies and governments. How to effectively manage longevity risk has become the focus of academic research. In view of the existing longevity bond research model in the consideration of population mortality positive and negative to asymmetric jump deficiencies. Based on the Lee-Carter model, a double exponential jump diffusion model is used to characterize the positive and negative asymmetric jumps of mortality. And the classic CIR interest rate model is used to discount the longevity bond, and then the risk neutral pricing method is introduced to give the bond pricing in the incomplete market. Make pricing closer to the real market. Empirical analysis of population death data shows that the ability of this model to measure longevity risk is significantly better than the existing model. Therefore, this model is used to price bonds. It can not only provide more reasonable pricing, but also improve the ability of life insurance companies to deal with longevity risks, thus promoting the further development of life insurance industry in China.
【作者单位】：福州大学经济与管理学院;福州大学投资与风险管理研究所;
【基金】：福建省自然科学基金资助项目(2017J01794)
【分类号】：F832.51
【正文快照】： 1引言随着社会的进步,医疗卫生条件和经济生活水平的改善,人类的死亡状况不断好转,寿命呈现不断延长的趋势。长寿风险使得各国的寿险业、养老机构等的金融压力变大,面临严重的支付危机,其造成的社会影响已经引起各国的广泛关注。传统的风险管理方法很难实现长寿风险的转移,需

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