基于Lee-Carter模型的中国长寿债券设计及长寿风险应对研究

发布时间：2018-04-09 16:07

本文选题：Lee-Carter模型　切入点：长寿风险　出处：《北方工业大学》2013年硕士论文

【摘要】：为应对即将来临的长寿风险问题,各国常见的应对长寿风险的方法有再保险、利用金融衍生工具分散长寿风险、把长寿风险证券化对冲等等。本文主要使用Lee-Carter改进模型预测死亡率的方法,预测中国不同年龄别死亡率及趋势,并应用于一般长寿债券设计中,以此来应对日益严峻中国长寿风险问题。合理运用改进后的Lee-Carter方法对中国男、女死亡率预测,并考虑其模型的残差问题,进一步验证了Lee-Carter能够很好的拟合中国人口死亡率,从而使得其预测结果的有效性增加。在收集1994-2009年男、女死亡率数据的基础上,首先对得到的不同年龄别的死亡率数据进行对数处理,然后在识别现有数据基本特征并归纳出现有模式的基础上,依据参数正态化假设条件,对相关数据进行外推,据此拟合1994-2009年中国的人口死亡率,并对后面的11年不同年龄别人口死亡率进行预测,得到合理的死亡率预测值。得到预测结果后,并将此结果与官方数据进行比较,进而得到寿命低估的结论,并提出修改养老保险制度的建议。此外,本文将改进后的Lee-Carter模型预测的死亡率结论应用到一般的长寿债券设计当中,并构建了适合中国的长寿债券的定价模型,使用中国生命表中的数据进行了实证分析。本文的定价模型结合了中国人口死亡率的特点,并且考虑了不完全竞争市场和利率结构两方面因素,模型的结果更具普遍适用性。
[Abstract]:In order to deal with the coming longevity risk, the common methods to deal with longevity risk in many countries include reinsurance, dispersing longevity risk by financial derivatives, hedging longevity risk and so on.This paper mainly uses the method of Lee-Carter improved model to predict the mortality rate and trend of different ages in China, and applies it to the design of general longevity bond to deal with the increasingly severe risk of longevity in China.The improved Lee-Carter method is used to predict the mortality of male and female in China, and the residual problem of the model is considered. It is further proved that Lee-Carter can fit the mortality rate of Chinese population well, so that the validity of the forecast result is increased.Based on the collection of data on mortality rates for men and women for the period 1994-2009, the logarithmic processing of mortality data from different ages was carried out first, and then, on the basis of identifying the basic characteristics of the existing data and summarizing the emergence of patterns,According to the hypothesis of normalizing parameters, the relevant data are extrapolated to fit the population mortality of China from 1994 to 2009, and the mortality rates of other people of different ages for the next 11 years are forecasted, and the reasonable mortality forecast value is obtained.The result is compared with the official data, and then the conclusion of underestimation of life expectancy is obtained, and some suggestions are put forward to modify the old-age insurance system.In addition, this paper applies the mortality prediction of the improved Lee-Carter model to the general longevity bond design, and constructs a pricing model suitable for China's longevity bond. The empirical analysis is carried out using the data from the Chinese life table.The pricing model in this paper combines the characteristics of Chinese population mortality and takes into account the imperfect competitive market and interest rate structure. The results of the model are more applicable.
【学位授予单位】：北方工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F842.6;F832.51

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