| 基于随机死亡率与利率模型下的生存年金组合风险分析 |
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| 引用本文： | 张颖,黄顺林. 基于随机死亡率与利率模型下的生存年金组合风险分析[J]. 系统工程, 2010, 0(9) |
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| 作者姓名： | 张颖 黄顺林 |
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| 作者单位： | 南京邮电大学通达学院;南京财经大学应用数学学院;中国人民大学统计学院; |
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| 基金项目： | 国家自然科学基金资助项目(11071109) |
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| 摘 要： | 在L ee-Carter随机死亡率模型和AR(1)随机利息力模型条件下,建立了生存年金组合精算现值模型,并推导了年金组合现值的一、二阶矩。在利用我国死亡率经验数据估计模型参数的基础上,具体分析了一类生存年金组合,并通过年金组合现值的方差系数研究了年金组合面临的长寿风险与利率风险。
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| 关 键 词： | 长寿风险 Lee-Carter模型 年金组合 |
Risk Analysis on the Portfolio of Life Annuities Based on a Model of Stochastic Mortality and Interest Rates Environment |
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| ZHANG Ying,HUANG Shun-lin. Risk Analysis on the Portfolio of Life Annuities Based on a Model of Stochastic Mortality and Interest Rates Environment[J]. Systems Engineering, 2010, 0(9) |
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| Authors: | ZHANG Ying HUANG Shun-lin |
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| Affiliation: | ZHANG Ying1,HUANG Shun-lin2,3(1.School of Tongda,Nanjing University of Posts and Telecommunications,Nanjing 210003,China,2.School of Applied Mathematics,Nanjing University of Finance and Economics,Nanjing 210046,3.School of Statistics,Renmin University of China,Beijing 100872,China) |
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| Abstract: | Based on Lee-Carter mortality model and AR(1) interest rates model,the present value model of the portfolio of annuities is established.The first two moments of present value for the portfolio are derived.Model parameters are estimated by the mortality data of the population in China.A general portfolio of life annuities is analyzed and the longevity risks and interest rate risks of the portfolio are examined through the coefficient of variation. |
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| Keywords: | Longevity Risk Lee-Carter Model Portfolio of Annuities |
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