基于效用函数的长寿债券设计与定价模型研究

Research on Pricing Model of Longevity Bond based on Utility Function

长寿风险的系统性特点表明了单纯的保险市场内部是无法通过大数法则分散长寿风险的,因此需要对长寿风险进行证券化从而转移到资本市场,其中长寿债券是国际上常用的有效转移长寿风险的手段之一。本文从研究设计长寿债券定价模型的角度出发,运用期望效用理论中的效用无差别定价方法,在综合比较寿险公司发行长寿债券与不发行长寿债券的期望效用结果,来确定长寿债券的合理均衡价格,作为长寿债券的定价依据。研究结果表明,保险公司发行长寿债券,不仅可以有效的使保险机构的长寿风险得到转移释放,还可以提高保险公司在资本市场的收益和期望效用。

The systematic characteristics of longevity risk show that it is impossible to disperse longevity risk through the rule of large numbers in the insurance market, so it is necessary to securitize longevity risk and transfer it to the capital market, among which longevity bond is one of the most commonly used means to transfer longevity risk in the world. From the point of view of studying and designing the pricing model of longevity bonds, this paper uses the utility indifference pricing method in expected utility theory to determine the reasonable equilibrium price of longevity bonds by comparing the expected utility results of life insurance companies issuing longevity bonds with those of not issuing longevity bonds, which can be used as the pricing basis of longevity bonds. The results show that the issuance of longevity bonds by insurance companies can not only effectively transfer and release the longevity risk of insurance institutions, but also improve the income and expected utility of insurance companies in the capital market.