极端死亡率风险与长寿风险证券化的比较研究

A Comparative Study of Extreme Mortality Risk Securitization and Longevity Risk Securitization

极端死亡率风险证券化以寿险公司作为发起人将极端死亡率风险从整体风险中隔离出来发行证券,将极端死亡率风险转移到资本市场。长寿风险证券化以年金保险公司作为发起人,通过发行证券将长寿风险转移至资本市场。两者均属于死亡率风险转移证券化,均能够扩大寿险公司和年金保险公司的承保能力。极端死亡率风险证券化主要包括极端死亡率债券和极端死亡率互换两种工具,而长寿风险证券化主要包括长寿债券、长寿互换和q远期合约三种工具。笔者首先比较分析了极端死亡率风险证券化内部的两种工具,发现它们均为场外交易工具,流动性较差,定价方法均为Wang转换定价法,但在运行机制、合约性质以及交易程序上存在一定差异;其次从运行机制、基差风险和合约灵活性角度比较分析了长寿风险证券化内部的三种工具;最后,对极端死亡率风险与长寿风险证券化在种类、标的物、运行机制和主要风险等方面的相同点和不同点进行了比较分析。寿险公司和年金保险公司可灵活选择两类证券化中的五种工具,以实现对不同死亡率风险的管理需求。

Extreme mortality risk securitization refers to the process in which life insurance companies as sponsors issue securities by isolating the extreme mortality risk from the overall risks to transfer the extreme mortality risk to the capital market. Longevity risk securitization refers to the process in which pension compa- nies as sponsors issue securities to transfer the longevity risk to the capital market. Both extreme mortality risk seeuritization and longevity risk securitization belong to the securitization of risk transfer, which expands the underwriting capacities of life insurance and pension companies. Extreme mortality risk securitization includes the extreme mortality bonds and extreme mortality swaps, whereas longevity risk securitization Consists of lon- gevity bonds, longevity swaps, and q forward contracts. This paper first comparatively analyzes the two differ- ent tools within the extreme mortality risk securitization and finds that both of them are OTC instruments with poor liquidity, using the Wang Transform Pricing Model, but there are some differences in operational mecha- nisms, contract natures and transactional procedures between them ; then comparatively analyzes the three tools within the longevity risk securitization from the perspective of operational mechanisms, basis risks and contract flexibilities; finally conducts a comparative study of the types, underlying assets, operational mechanisms, and main risks between the two risk securitizations. Life insurance companies and pension companies can flexibly choose any one of those five tools in order to meet the needs of managing the extreme mortality risk and longevity risk.