本文選題：長(zhǎng)壽風(fēng)險(xiǎn)　切入點(diǎn)：長(zhǎng)壽互換　出處：《吉林大學(xué)》2014年碩士論文

【摘要】：隨著我國(guó)人口老齡化趨勢(shì)的加劇，長(zhǎng)壽風(fēng)險(xiǎn)已成為現(xiàn)代養(yǎng)老保險(xiǎn)體系發(fā)展所面臨的重要風(fēng)險(xiǎn)，長(zhǎng)壽風(fēng)險(xiǎn)是指人的實(shí)際壽命超過(guò)預(yù)期壽命所帶來(lái)的未來(lái)養(yǎng)老金缺口的風(fēng)險(xiǎn)。人口壽命延長(zhǎng)將使保險(xiǎn)公司或社會(huì)養(yǎng)老保險(xiǎn)機(jī)構(gòu)的養(yǎng)老金未來(lái)給付年限和給付額度增加,導(dǎo)致負(fù)債大于資產(chǎn)的風(fēng)險(xiǎn)，出現(xiàn)養(yǎng)老金缺口，危及社會(huì)安定。因此作為社會(huì)養(yǎng)老保險(xiǎn)提供者的政府和保險(xiǎn)企業(yè)機(jī)構(gòu)越來(lái)越重視長(zhǎng)壽風(fēng)險(xiǎn)，積極尋找長(zhǎng)壽風(fēng)險(xiǎn)的管理方法。 長(zhǎng)壽風(fēng)險(xiǎn)證券化是一種在保險(xiǎn)風(fēng)險(xiǎn)證券化的基礎(chǔ)上發(fā)展起來(lái)的管理長(zhǎng)壽風(fēng)險(xiǎn)的金融工具，是指壽險(xiǎn)公司通過(guò)長(zhǎng)壽債券的發(fā)行或長(zhǎng)壽互換等方式，將死亡率及債券的收益緊密聯(lián)系，從而將長(zhǎng)壽風(fēng)險(xiǎn)轉(zhuǎn)移到資本市場(chǎng)的證券化過(guò)程。與傳統(tǒng)的長(zhǎng)壽風(fēng)險(xiǎn)管理方法相比，長(zhǎng)壽風(fēng)險(xiǎn)證券化成本更低、風(fēng)險(xiǎn)承擔(dān)能力更強(qiáng)、與長(zhǎng)壽風(fēng)險(xiǎn)在時(shí)間上的匹配更好；同時(shí)長(zhǎng)壽風(fēng)險(xiǎn)證券化產(chǎn)品的出現(xiàn)為保險(xiǎn)金的運(yùn)作提供了新的方向，也使投資者有了新的投資方式選擇，能夠使資本市場(chǎng)風(fēng)險(xiǎn)的降低。定價(jià)模型是長(zhǎng)壽風(fēng)險(xiǎn)的證券化研究頗為重要的內(nèi)容。長(zhǎng)壽風(fēng)險(xiǎn)的定價(jià)是建立在生存概率模型的基礎(chǔ)上，生存概率模型需要通過(guò)死亡率模型得到。因此，長(zhǎng)壽風(fēng)險(xiǎn)的研究主要集中在死亡率模型的預(yù)測(cè)上。 本文將從長(zhǎng)壽風(fēng)險(xiǎn)的內(nèi)涵入手，，闡述長(zhǎng)壽風(fēng)險(xiǎn)的產(chǎn)生原因、影響以及傳統(tǒng)的長(zhǎng)壽風(fēng)險(xiǎn)管理方式，并指出這些傳統(tǒng)方法的不足，從而引出長(zhǎng)壽風(fēng)險(xiǎn)證券化的管理方法。接著將詳細(xì)介紹長(zhǎng)壽風(fēng)險(xiǎn)證券化的含義及三種證券化工具，并對(duì)其一般形式及運(yùn)行機(jī)制進(jìn)行闡述；重點(diǎn)介紹長(zhǎng)壽互換的分類(lèi)及運(yùn)行機(jī)制，并分析其優(yōu)缺點(diǎn)。最后將以長(zhǎng)壽互換為例，對(duì)其定價(jià)模型進(jìn)行建模，通過(guò)檢驗(yàn)得出貝葉斯MCMC能夠?qū)ξ覈?guó)人口統(tǒng)計(jì)數(shù)據(jù)進(jìn)行更好的擬合的結(jié)論。
[Abstract]:With the increasing trend of aging population in China, longevity risk has become an important risk faced by the development of modern old-age insurance system. Longevity risk refers to the risk of a future pension gap caused by a person's actual life span exceeding life expectancy. An increase in the population's life span will increase the number of years and the amount of future pension benefits to be paid by insurance companies or social pension insurance institutions. Therefore, the government and insurance enterprises, as providers of social pension insurance, pay more and more attention to the risk of longevity and actively look for the management method of longevity risk. Longevity risk securitization is a kind of financial tool for managing longevity risk, which is developed on the basis of insurance risk securitization. The long life risk is transferred to the securitization process of the capital market. Compared with the traditional longevity risk management method, longevity risk securitization has lower cost and stronger risk bearing capacity. At the same time, the emergence of securitization products of longevity risk provides a new direction for the operation of insurance funds and gives investors a new choice of investment mode. Pricing model is an important part of securitization research on longevity risk. The pricing of longevity risk is based on survival probability model. The survival probability model needs to be obtained by the mortality model. Therefore, the study of longevity risk is mainly focused on the prediction of mortality model. This article will start with the connotation of longevity risk, expound the reason, influence and traditional management method of longevity risk, and point out the deficiency of these traditional methods. Then the meaning and three securitization tools of longevity risk securitization are introduced in detail, and its general form and operation mechanism are expounded, and the classification and operation mechanism of longevity risk securitization are introduced in detail. Finally, taking the longevity swap as an example, the pricing model is modeled, and the conclusion that Bayesian MCMC can better fit the demographic data of our country is obtained by testing.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51;F842.67

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