寿险公司长寿风险测度及其自然对冲策略研究

发布时间：2018-04-03 00:17

本文选题：长寿风险　切入点：Lee-Carter动态死亡率模型　出处：《湖南大学》2014年硕士论文

【摘要】：寿险公司未来的现金流受到许多不确定因素的影响，长寿风险是其中非常重要的因素之一。随着医疗卫生科技的进步与人类生活质量的提高，人类平均寿命日趋延长，且由于传统风险管理方法很难有效分散或转移日趋严重的长寿风险，长寿风险正日趋严重地威胁经营年金、养老金的寿险公司与社保计划的偿付能力及经营状况。寿险产品为养老金产品面临的长寿风险提供了一个天然的对冲，自然对冲策略正成为管理长寿风险的一种重要方法和工具。因此，本文着眼于日益严重的长寿风险，提出了不同人群间的联合长寿风险测度方法并由此构建了寿险公司的业务线自然对冲策略。本文首先介绍随机死亡率模型、Lee-Carter模型及其参数估计方法。在此基础上，引入损失率指标，构建边际长寿风险的测度方法，以度量寿险公司单条业务线面对的长寿风险。然后将Copula方法引入测度模型，应用于不同人群间非线性相关联合死亡率的预测，引入损失率以度量寿险公司多条业务线的长寿风险。运用以上构建的模型，使用VaR作为风险度量结合马科维茨投资组合理论，提出了寿险公司业务线自然对冲策略。基于美国与英国1933-2010年0-100岁人群中心死亡率数据，通过本文提出模型调整业务比例，即90.5%的保费收入来自于年金业务，9.5%来自于寿险，，可达到对长寿风险的内部对冲的最优业务组合。优化后业务组合损失率VaR95%值减小为1.0001，低于任一业务线边际风险：寿险业务的1.0625，年金业务的1.0063；以及在原业务组合比例为1:1的假设下业务组合损失率的VaR95%值1.0280。相关研究成果可为寿险公司等的长寿风险管理提供新的思路，有助于解决由长寿风险引起的偿付能力不足问题，有利于提高寿险公司的经营安全。
[Abstract]:Life insurance company's future cash flow is affected by many uncertain factors, longevity risk is one of the most important factors.With the progress of medical and health science and technology and the improvement of the quality of human life, the average life expectancy of human beings is lengthening day by day, and the traditional risk management methods are difficult to effectively disperse or transfer the increasingly serious longevity risks.Longevity risks are increasingly threatening the solvency and operating status of annuity, pension life insurance companies and social security schemes.Life insurance products provide a natural hedge for the longevity risks faced by pension products, and natural hedging strategies are becoming an important method and tool for managing longevity risks.Therefore, in view of the increasingly serious longevity risk, this paper puts forward a joint longevity risk measurement method among different people and constructs the natural hedging strategy of life insurance company's business line.This paper first introduces the random mortality model Lee-Carter model and its parameter estimation method.On this basis, the loss rate index is introduced to measure the marginal longevity risk in order to measure the longevity risk faced by a single line of business of life insurance companies.Then the Copula method is introduced into the measurement model to predict the nonlinear correlation joint mortality among different populations and the loss rate is introduced to measure the longevity risk of multiple business lines of life insurance companies.Based on the above model, using VaR as risk measure and Markowitz portfolio theory, this paper puts forward the natural hedging strategy of life insurance company's line of business.Based on the data of the central mortality rate of the population aged 0-100 years from 1933 to 2010 in the United States and the United Kingdom, this paper proposes a model to adjust the proportion of business, that is, 90.5% of premium income comes from annuity business and 9.5% from life insurance.The optimal portfolio for internal hedging of longevity risks can be achieved.After optimization, VaR95% of business portfolio loss rate is reduced to 1.0001, which is lower than the marginal risk of any business line: 1.0625 of life insurance business, 1.0063 of annuity business, and 1.0280 of VaR95% loss rate of business combination under the assumption that the proportion of original business portfolio is 1:1.The related research results can provide a new idea for longevity risk management of life insurance companies, help to solve the problem of insufficient solvency caused by longevity risk, and help to improve the operation safety of life insurance companies.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F840.3

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