| 长寿风险的证券化探索 |
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| 引用本文： | 余伟强. 长寿风险的证券化探索[J]. 复旦学报(自然科学版), 2006, 45(5): 664-669 |
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| 作者姓名： | 余伟强 |
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| 作者单位： | 复旦大学,数学科学学院,上海,200433 |
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| 基金项目： | 复旦-瑞士再保险研究基金 |
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| 摘 要： | 随着人类寿命的逐渐延长,许多国家的养老金和企业年金都出现了大规模的亏空.借鉴巨灾债券和死亡率指数债券的成功,先引入长寿风险证券化的概念;介绍了2种死亡率期权,并由此构造了生存债券;最后通过马尔科夫过程和随机数值模拟对该生存债券进行定价,并指出了现阶段存在的困难以及相应建议.
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| 关 键 词： | 长寿风险 死亡率期权 死亡率指数债券 马尔科夫过程 |
| 文章编号： | 0427-7104（2006）05-0664-06 |
| 收稿时间： | 2005-12-14 |
| 修稿时间： | 2005-12-14 |
A Study in Securitization of Longevity Risk |
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| YU Wei-qiang. A Study in Securitization of Longevity Risk[J]. Journal of Fudan University(Natural Science), 2006, 45(5): 664-669 |
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| Authors: | YU Wei-qiang |
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| Affiliation: | School of Mathematical Science, Fudan University, Shanghai 200433, China |
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| Abstract: | As with the steady increasing of human's life expectancy,large deficits have emerged in the pension fund of many countries and companies.Enlightened by the huge success of catastrophe bonds and mortality indexed bonds,a newly-discovered hedging method,securitization of longevity risk,is brought forward.The conception and traditional hedge method of longevity risk are introduced firstly.Then a new bond,the survival bond,is constructed by stand bonds and mortality options.The price of the bond is calculated using Markovian chain and random numeric simulation.At last,suggestions are brought forward to solve the difficulties in the securitization of longevity risk in the current capital market. |
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| Keywords: | longevity risk mortality option mortality indexed bond Markovian chain |
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