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基于VaR方法的长寿风险自然对冲模型 被引量：10

Natural Hedging Strategy for Longevity Risks Based on VaR and Application in Insurance Companies
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摘要 随着死亡率的下降与预期寿命的提高,保险公司面对着不容忽视的长寿风险。基于VaR方法探讨了长寿风险管理中的自然对冲策略,然后在对中国男性人口死亡率预测的基础上,给出了保险公司自然对冲长寿风险所需的最优产品结构,并进一步考查了利率、签单年龄、缴费方式等因素对最优产品结构的影响。 With the decline in mortality and improvement of life expectancy,longevity risk of life insurance companies can not be ignored.Firstly,the natural hedging strategy based on VaR for the longevity risk is investigated.Then a cohort-based extension to the Lee-Carter model is fitted and projected for mortality data of the male population in China.On the basis of the mortality experience,the optimal product mix to hedge longevity risk for the insurers is given.Finally the impacts of the interest rates,age,and payment method on the optimal product mix are examined.
作者 黄顺林 王晓军
机构地区 南京财经大学应用数学学院 中国人民大学统计学院
出处 《统计与信息论坛》 CSSCI 2011年第2期48-51,共4页 Journal of Statistics and Information
基金 国家自然科学基金项目<抽象经济均衡问题的相关研究>(11071109) 南京邮电大学校科研基金项目<寿险产品中的长寿风险评估与管理研究>(NY210057)
关键词 长寿风险 自然对冲 死亡率模型 longevity risk natural Hedging mortality model
分类号 F222.3 [经济管理—国民经济]
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参考文献12

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二级参考文献12

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共引文献7

同被引文献161

  • 1中国保监会:《关于人身保险预定利率有关事项的通知(征求意见稿)》(保监厅函[2010]第308号.).
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统计与信息论坛
2011年 第2期

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