基于长寿风险的金融产品创新研究

发布时间：2018-04-13 17:18

本文选题：长寿风险 + 养老金融　；参考：《天津财经大学》2015年博士论文

【摘要】：人口老龄化已成为21世纪不可逆转的世界性趋势,同时也对经济和社会产生了不可忽视的影响。我国基本养老保障尚未完善,长寿风险的凸显给养老资金储备造成了很大压力。然而,不论是宏观经济发展的需要,还是微观主体财务自由的诉求,大力发展商业养老保障以缓解社会养老压力将是一条可行之路。本文从养老金融的角度出发,设计养老金融产品,作为社会基本保障之外的补充,完善微观个体的养老理财规划。养老金融是以银发族为主要服务目标群体,以老年服务为产品开发特征,以老龄化为引领的、潜力巨大的金融服务产业,养老引致金融,金融改变养老。养老金融依托政府、企业以及金融机构服务于老年人,从内容上可以大体分为宏观的养老金投资运营和微观的养老金融产品开发两个方面。在宏微观两个层面,金融与养老之间存在不断地自我加强的理论逻辑。从宏观层面讲,养老金(包括基本养老金的个人账户、社保基金和企业年金)的保值增值需要靠一些长期的金融工具在稳定的金融市场上才能实现；与此同时,大规模的养老金进入资本市场也会给整个市场的交易机制、产品设计、政策法规等带来很大的改观。从微观层面来看,为满足老年人的财富管理需求而设计的理财产品,包括信贷类的住房反向抵押贷款、投资类的长寿债券以及保险类的年金产品等等,也都是金融创新的体现。本文从微观角度入手,立足于个人长寿风险管理,为存在养老需求的消费者设计一种创新型的个人年金产品,既能满足不同年龄段的消费者进行养老储蓄的需求,又在较低的价格上为退休人员提供最大限度的长寿风险覆盖。从整个生命周期来讲,青年、中年以及老年三个阶段对财富量要求及风险的偏好程度不同,导致了生命周期资产组合配置的差异性。本文将养老需求加入到生命周期投资模型中,即,将年金产品作为组合资产之一,在整个生命周期内完成对养老的最优安排。本文从个人长寿风险度量、创新型个人养老金融产品设计以及最优投资消费组合这三个方面展开研究,具体内如下：随机寿命下个人长寿风险度量。个人长寿风险即为老年人手中财富不足以满足晚年消费的财富短缺风险。本文利用随机微分方程的形式定义了老年人的财富变化过程,并结合生存概率推导出财富短缺概率。本文将必要财富增长率作为个人长寿风险的量化指标,即,使老年人的财富在τ(死亡时刻)内短缺的概率小于5%的最低财富增长率。此外,本文从消费的角度划分了三类老年群体：基准群体、遗赠群体和独居群体,并比较这三类群体的个人长寿风险特征。遗赠群体面临的个人长寿风险水平低于基准群体,独居群体的个人长寿风险水平最高,而且个人长寿风险高峰出现的时间最早。老年人的财富短缺概率受经济参数的影响不容忽视,消费物价指数和国债收益波动率的增大均加剧了老年人的个人长寿风险；消费物价指数的正向作用不断收敛,而国债收益率的波动会对老年人的财富产生扩张性的侵蚀。长寿指数延迟年金的设计与定价。本文从养老金融产品创新的角度,缓解了年金的供给和需求的矛盾：长寿指数延迟年金(LIDA)在转移了年金提供者的部分系统性长寿风险的同时,以较低的价格为年金购买者提供了大部分长寿风险覆盖。文章从两个维度衡量LIDA的价值：首先,长寿风险转移的维度,利用LIDA的定价量化系统性风险的转移程度；其次,长寿风险的覆盖维度,利用离散时间下的动态最优化数值算法计算LIDA系列产品的等价财富,进而得到产品的长寿风险覆盖率。实证结果表明,长寿指数年金可以以较低价格提供80%以上的长寿风险覆盖,而LIDA为老年人提供了一系列更低价格、不同长寿风险覆盖程度的产品。老年人购买LIDA可以在保证长寿风险覆盖的同时,满足自身的流动性需求和遗产需求。金融创新产品的组合拓展——生命周期最优资产配置。本文构建了考虑劳动收入和死亡率的随机生命周期投资模型,在这个框架下分析消费者如何在股票、债券和年金等三类资产上配置以获得一生的最大效用,并细致比较了三类不同群体(基准群体、遗赠群体和独居群体)的不同配置特征。实证分析表明,三类群体在退休后收入、消费理念等方面有很大不同,这直接决定了其在年金购买和资产配置行为中的差异。基准群体37岁开始购置年金资产,退休之后,消费者的投资行为偏保守。相比基准群体,遗赠群体年金的购置比例偏低,退休之后债券比例不断上升,并一直延续到生命终止。独居群体对年金的配置比例最高,退休后的投资行为也最为保守,在长寿风险高峰之前,就不再持有任何金融资产。此外,LIDA系列不单有提供退休后基础保障的60岁起付的产品,还有针对长寿风险覆盖的高龄阶段起付的产品。两类产品都能给消费者带来显著的福利效应,尤其是当放宽LIDA的购买时限,高龄起付的LIDA产品对消费者的效用提升更加显著。通过对长寿风险以及养老金融产品的研究,本文认为在实际工作中应全面识别并动态测度长寿风险,大力开发包括年金产品在内的银行、保险以及基金类的多层次养老金融产品,以方便消费者在全面认识长寿风险的前提下,在整个生命周期内进行养老规划。
[Abstract]:Population aging has become a worldwide trend in twenty-first Century irreversible, but also have a great influence on economy and society. China's basic old-age security has not been perfect, highlighting the longevity risk has caused great pressure to the pension fund reserves. However, whether it is need to macro economic development, or the micro subject of financial freedom the demands of the development of commercial pension insurance, in order to alleviate the pressure of pension will be a feasible way. This paper from the perspective of old-age pension finance, financial product design, as a supplement to other basic social security, improve the individual pension financial planning. Pension finance is to seniors as the main service target groups, the elderly service for the development of product characteristics, leading to aging as the huge potential of the financial services industry, financial changes arising from financial endowment, pension pension. Financial enterprises rely on the government. Business and financial institutions in the elderly, and the contents can be divided into two aspects: macro and micro pension pension investment operations and financial product development. In the macro and micro two aspects of existing theoretical logic constantly self reinforcing between financial and pension. From the macro level, the basic pension (including pension personal accounts, social security funds and enterprise annuity) value need to rely on some long-term financial instruments in stable financial markets can be realized; at the same time, trading mechanism, large-scale pension to enter the capital market will give the market the product design, policies and regulations greatly improved. From the micro level, and design in order to meet the needs of the elderly demand for wealth management financial products, including credit class housing reverse mortgage loan, investment and insurance of longevity bonds in gold products And so on, are also reflected in financial innovation. In this paper, based on the individual longevity risk management, design an innovative for the existence of consumer demand for personal pension annuity products, can satisfy the consumers of different ages for pension savings needs, and at a lower price for retirement the maximum longevity risk coverage. Young people from the whole life cycle in terms of wealth, requirements and risk preference of middle-aged and older three different stages, lead to differences in the life cycle of asset portfolio allocation. This paper will be added to the pension needs of life cycle investment model, namely, the annuity products as portfolio one of the complete arrangement of the optimal pension in the entire life cycle. From the personal longevity risk measure, innovative individual pension financial product design and optimal consumption and investment combination Research on these three aspects, specific as follows: stochastic life longevity risk measure. The individual person is elderly longevity risk is not sufficient to meet the old age consumption wealth of wealth in the hands of shortage risk. This paper uses the stochastic differential equation in the form of the definition of wealth changes in the elderly, and combined with the survival probability is derived. The probability of shortage of wealth the necessary wealth growth rate as the index, the risk of personal longevity, the elderly wealth in the tau (death) the lowest probability is less than 5% in the shortage of wealth growth rate. In addition, this paper is divided into three categories of older age groups from the angle of consumption: reference groups, groups and solitary legacy groups, and more these three groups of individual longevity risk characteristics. Legacy groups face personal longevity risk level is lower than the reference group, groups of individuals living alone longevity risk level is the highest, and personal The longevity risk peak in the earliest time. Influence of wealth of the elderly by economic shortage probability parameters can not be ignored, the consumer price index increased and Treasury yield volatility are exacerbated by the elderly individual longevity risk; continuous convergence of positive effect of the consumer price index, erosion yields fluctuations for the elderly wealth in the expansion. The design and pricing of longevity index delay. This paper from the pension annuity financial product innovation angle, ease the contradiction between supply and demand of pension: long delay index (LIDA) in the transfer of pension annuity provider system of longevity risk at the same time, provides the most longevity risk with low coverage the price for the annuity buyers. Measure LIDA from two dimensions: first, the value of the longevity risk transfer dimension, using quantitative risk pricing system of LIDA Transfer degree; secondly, covering the dimensions of longevity risk, wealth equivalent calculation of LIDA series of products using dynamic optimization algorithm in discrete time, and then get the longevity risk coverage. The empirical results show that longevity index annuity can provide more than 80% longevity risk coverage at a lower price, and provides a series of lower LIDA the price for the elderly, different longevity risk degree of coverage products. The elderly to buy LIDA can guarantee the longevity risk coverage at the same time, to meet their liquidity needs and heritage needs. Combination of financial innovation product development life cycle optimal asset allocation. This paper constructs the stochastic life cycle investment model of labor income and mortality considerations how consumers in the stock analysis under this framework, the maximum utility bonds and annuities and other three categories of assets are configured for life, and fine By comparing three kinds of different groups (reference group, group and group of the living legacy of different configuration). The empirical analysis shows that the three groups in retirement income are quite different in terms of consumption concept, which directly determines the difference in the annuity purchase and asset allocation behavior. Benchmark groups began to purchase pension assets at the age of 37, after the retirement, the investment behavior of consumers is conservative. Compared with the reference group, the proportion of group annuity purchase bequest is low, the proportion of bonds rising after retirement, and lasted until the end of life. Living groups on the allocation of the highest proportion of pension after retirement, investment behavior is the most conservative, before the peak of longevity risk that will no longer hold any financial assets. In addition, the LIDA series not only provide basic guarantee after retirement at the age of 60 to pay the products, as well as for elderly longevity risk coverage products to pay Two. Products can bring welfare effect to consumers, especially when the purchase of LIDA relaxation time, the elderly pay LIDA products to consumers to enhance the effectiveness of more significant. Through the study of longevity risk and pension financial products, this paper argues that in the actual work should fully recognize and measure the dynamic longevity risk, develop annuity products, including banking, insurance and fund the multi-level pension financial products, for the convenience of consumers in the premise of a comprehensive understanding of longevity risk, pension plan in the whole life cycle.

【学位授予单位】：天津财经大学
【学位级别】：博士
【学位授予年份】：2015
【分类号】：F842.6;F832

【参考文献】