相依风险结构下弹性退休年金产品价值风险比较

Risk Comparison of the Value of Flexible Retirement Annuity Products Under Dependent Risk Structure

为应对人口老龄化,我国在“十四五”规划及2035年远景目标纲要中提出了弹性实施延长退休年龄的社会养老保险制度改革的举措.从西方较早进入老龄化国家的制度实践来看弹性退休制具有可行性.本文提出关于保险产品价值的风险测度,在弹性退休年龄、剩余寿命等风险因素非独立条件下使用阿基米德copula对风险因素的依存关系建模,通过Laplace变换得到了基于随机序的弹性退休年金产品价值风险的比较定理.这些定理说明延迟退休年龄意愿与余寿对弹性退休年金产品价值的影响效应,为弹性退休制下社会养老保险账户的财务风险防控提供了精算基础.

In order to cope with the aging of the population,China has put forward the measures of flexibly implementing the reform of the social old-age insurance system to extend the retirement age in the"fourteenth five year plan"and the outline of long-term objective for 2035.The flexible retirement system is feasible from the institutional practice of the early entry of the West into aging countries.In this paper,we propose a risk measure about the value of insurance products.Under the condition of nonindependent risk factors,we use Archimedes copula to model the dependence of risk factors.Through the Laplace transformation,we obtain the theorems about risk comparison of the value of flexible retirement annuity products based on stochastic order.These theorems show the effect of delaying retirement intention and remaining life on the value of flexible retirement annuity products,and provide an actuarial basis for the prevention and control of financial risks of social pension insurance accounts under the flexible retirement system.