基于GlueVaR的我国养老金系统长寿风险度量

Measurement of Longevity Risk in China's Pension System Based on GlueVaR

基于GlueVaR风险度量方法，选取1994～2012年国家统计局公布的死亡率数据，采取Lee—Carter模型对人1：7死亡率进行时间外推，运用Gompertz模型对我国缺失的高龄人口死亡率数据进行插补，计算得到GlueVaR方法下的养老金系统长寿风险度量值，并与VaR和TVaR的度量值进行比较。研究表明，长寿风险的GlueVaR度量方法与VaR和TVaR方法相比，不仅应对了尾部极端风险发生的可能性，同时该方法具有较强的灵活性，可以获取更加全面的长寿风险信息。GlueVaR风险度量方法具有多个参数，一方面可以满足我国养老金系统管理者有效控制长寿风险的要求，另一方面也可以满足养老金计划参与者预期较高的养老金回报的要求。

Based on the GlueVaR risk measurement method proposed by Belles-Sampera （2014） , this paper selected the 1994 -2012mortality data released by China＇ s National Bureau of Statistics, adopted the Lee-Carter model to conduct time extrapolation on the mortality data and the Gompertz model to interpolate the mortality rate among high-age groups into the model, and finally arrived at the longevity risk by GlueVaR method in China＇ s pension sys- tem. The results showed that the measurement of GlueVaR longevity risk method was better than the VaR and TVaR methods. The GlueVaR method was not only able to deal with the extreme tail risk, but also could obtain more comprehensive information about longevity risk due to its larger flexibility. The GlueVaR measurement of longevity risk has multiple parameters, and it can satisfy the pension administrator＇ s requirements for better control of the longevi- ty risk and pension system participants＇ desire for higher returns.