摘要
目前我国保险公司开发的年金产品仍采用固定死亡率精算假设进行定价,没有考虑未来参保人群的系统性死亡率改善引发的聚合长寿风险对年金产品定价的影响。本文结合中国1994~2012年单龄组、五龄组男性和女性死亡数据,提出了基于重叠区块Bootstrap再抽样的死亡率预测方法,分别在时期和出生队列方式下模拟预测了未来50年定期年金精算现值随机变量的分布,得出固定利率下长寿风险对年金价格上涨的影响显著且男性聚合长寿风险更显著,并通过利率敏感性测试得出利率上升能对冲长寿风险的影响。
At present, all insurance companies have followed a fixed mortality rate as actuarial assumptions for pricing annuity products in China, without considering the impacts of aggregate longevity risk due to systematic mortality improvement of the insured in the future on pricing annuity products. The present paper proposed a mortality prediction method based on overlapping block bootstrapping, and further predicted the distributions and obtained relevant distribution characteristics of the actuarial present value random variables of temporary life annuity in the next 50 years based on both period data and birth cohort data, using China mortality data both one-year age groups and five-year ages groups from 1994 to 2012 by gender. The results have showed that longevity risk has significant influence on the upward annuity prices in a fixed interest rate, and men are exposed to more significant aggregate longevity risk than women. Finally, the paper also has the conclusion that the rising interest rate can hedge the impacts of longevity risk on pricing annuity products through the sensitivity test of interest rate.
出处
《山西财经大学学报》
CSSCI
北大核心
2015年第8期21-30,共10页
Journal of Shanxi University of Finance and Economics
基金
国家自然科学基金青年项目(71401041)
教育部人文社会科学研究青年基金项目(14YJCZH025)
中国博士后科学基金"动态死亡率建模与长寿风险量化研究"(2014M550206)
中国保险学会研究课题"费率市场化环境下保险产品精算定价及监管机制研究"(IICKT2014-N-1-07)
