多总体死亡率差异风险度量——以ILS债券为例

Measurement of Multi Population Mortality Bias Risk——ILS bonds as an example

在回顾多总体动态死亡率预测模型研究成果的基础上,简要评述了已有模型的适应情况和假设条件,并依此构建了死亡率差异风险的度量模型.此后,并以ILS债券为例,利用HMD数据库中英国和美国人口死亡率数据,使用构建的死亡率差异风险度量模型,测量了ILS债券中的死亡率差异风险.定量分析结果显示:ILS为投资者设定了较高的安全阀值,保障了ILS的成功发行.

Based on the review of the research results of multi-population dynamic mortality prediction models,this article briefly reviews the adaptability and assumptions of the existing models,and builds a model for the measurement of mortality bias Risk.As an example,a multivariate mortality predicted model is constructed based on the UK and US population mortality data in the HMD database,and mortality bias risk in ILS bonds is measured.The results of the study show that ILS has set a high safety threshold for investors to ensure the success of ILS.