摘要
长寿风险不仅使寿险公司和社会保障部门不堪重负,而且对经济和社会的发展产生严重威胁。以对冲长寿风险为目的,根据我国国情设计一种长寿债券,与债券相关联的生存指数是通过Ornstein-Uhlenbeck跳(OUj)过程刻画的死亡强度得到的。考虑到我国利率市场和保险市场的特点,利用正双曲利率模型对债券进行贴现,并通过王氏变换给出不完全市场中的长寿债券定价模型。最后,依据我国生命表数据进行实证研究。
Longevity risk not only overburdens insurers and social security departments, but also threats the development of economy and society. In order to hedge the risk of longevity, this article proposes to design longevity bonds according to the situation of our country. Ornstein-Uhlenbeck process with jumps is used to model the death intensity to get a survival index. Considering characteristics of interest rate market and insurance market, the interest rate is described with positive hyperbolic model, and Wang transform is used to price the bond in the incomplete market. Finally, empirical study is conducted with data of Chinese life table.
出处
《系统管理学报》
北大核心
2008年第3期297-302,共6页
Journal of Systems & Management
基金
教育部新世纪优秀人才支持计划(2005年)
国家自然科学基金资助项目(70771018)
教育部人文社会科学基金资助项目(05JA630005)
