| 随机死亡率和利率下退休年金的长寿风险分析 |
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| 引用本文： | 尚勤,秦学志.随机死亡率和利率下退休年金的长寿风险分析[J].系统工程,2009(11). |
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| 作者姓名： | 尚勤 秦学志 |
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| 作者单位： | 大连理工大学管理学院; |
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| 基金项目： | 教育部新世纪优秀人才支持计划项目(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) |
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| 摘 要： | 鉴于我国人口日趋老龄化的现实并针对利率的波动特征,本文选用带跳的Feller过程模拟死亡强度,选用Cox-Ingersoll-Ross(CIR)模型刻画利率期限结构,进而建立了死亡率和利率均随机变化的退休年金定价模型。在此基础上,利用我国生命表数据并配合参数敏感度测试,估算模型参数及预测我国未来人口死亡率,进而着力分析了生存概率的改善对退休年金精算现值的影响。结果表明在其它金融风险均可实施有效对冲的情况下,长寿风险会使退休年金成本显著增加,严重威胁着寿险公司的偿付能力。这意味着寿险公司需要格外关注退休年金的设计和长寿风险的对冲策略。
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| 关 键 词： | 退休年金 长寿风险 带跳的Feller过程 CIR模型 |
An Analysis on Longevity Risk of Pension Annuities under Stochastic Mortality and Interest |
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| SHANG Qin,QIN Xue-zhi.An Analysis on Longevity Risk of Pension Annuities under Stochastic Mortality and Interest[J].Systems Engineering,2009(11). |
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| Authors: | SHANG Qin QIN Xue-zhi |
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| Institution: | SHANG Qin,QIN Xue-zhi(School of Management,Dalian University of Technology,Dalian 116024,China) |
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| Abstract: | Considering the aging trend of Chinese population and the characteristics of interest rates market,this paper models the death intensity by Feller process with jumps,describes the term structure of interest rate with Cox-Ingersoll-Ross(CIR) model.Based on these,the model of pension annuity is designed.Then,future mortality can be forecasted by sensitivity test and rationally setting of parameters in the death intensity model with the data of China's life tables.This paper further discusses how survival prob... |
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| Keywords: | Pension Annuities Longevity Risk Feller Process with Jumps CIR Model |
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