本文關(guān)鍵詞：基于雙指數(shù)跳躍擴(kuò)散模型的長(zhǎng)壽債券定價(jià)研究　出處：《中國(guó)管理科學(xué)》2017年09期 　論文類型：期刊論文

  更多相關(guān)文章： 長(zhǎng)壽債券 CIR利率模型 雙指數(shù)跳躍擴(kuò)散模型 風(fēng)險(xiǎn)中性

【摘要】：伴隨著人均壽命的延長(zhǎng),人口老齡化帶來的長(zhǎng)壽風(fēng)險(xiǎn)問題成為世界各國(guó)必須面對(duì)的重要課題。長(zhǎng)壽風(fēng)險(xiǎn)對(duì)各國(guó)的社保部門、壽險(xiǎn)公司和政府造成了嚴(yán)重影響,如何有效地管理長(zhǎng)壽風(fēng)險(xiǎn)成為學(xué)術(shù)界研究的焦點(diǎn)。鑒于已有長(zhǎng)壽債券研究模型在考慮人口死亡率正負(fù)向不對(duì)稱跳躍方面的不足,本文在Lee-Carter模型的基礎(chǔ)上,采用雙指數(shù)跳躍擴(kuò)散模型對(duì)死亡率的正負(fù)向不對(duì)稱跳躍進(jìn)行刻畫,并運(yùn)用經(jīng)典的CIR利率模型對(duì)長(zhǎng)壽債券進(jìn)行貼現(xiàn),然后通過引入風(fēng)險(xiǎn)中性定價(jià)法給出不完全市場(chǎng)中的債券定價(jià),使得定價(jià)更貼近真實(shí)市場(chǎng)。對(duì)人口死亡數(shù)據(jù)進(jìn)行實(shí)證分析的結(jié)果表明,本文模型度量長(zhǎng)壽風(fēng)險(xiǎn)的能力要明顯優(yōu)于已有模型。因此,應(yīng)用本文模型進(jìn)行債券定價(jià),不僅可以提供更合理的定價(jià),還可以提高壽險(xiǎn)公司應(yīng)對(duì)長(zhǎng)壽風(fēng)險(xiǎn)的能力,從而促進(jìn)壽險(xiǎn)業(yè)在我國(guó)的進(jìn)一步發(fā)展。
[Abstract]:With the prolongation of life expectancy, the problem of longevity risk brought by the aging of population has become an important issue all over the world. The risk of longevity has a serious impact on the social security sector, life insurance companies and governments. How to effectively manage longevity risk has become the focus of academic research. In view of the existing longevity bond research model in the consideration of population mortality positive and negative to asymmetric jump deficiencies. Based on the Lee-Carter model, a double exponential jump diffusion model is used to characterize the positive and negative asymmetric jumps of mortality. And the classic CIR interest rate model is used to discount the longevity bond, and then the risk neutral pricing method is introduced to give the bond pricing in the incomplete market. Make pricing closer to the real market. Empirical analysis of population death data shows that the ability of this model to measure longevity risk is significantly better than the existing model. Therefore, this model is used to price bonds. It can not only provide more reasonable pricing, but also improve the ability of life insurance companies to deal with longevity risks, thus promoting the further development of life insurance industry in China.
【作者單位】： 福州大學(xué)經(jīng)濟(jì)與管理學(xué)院;福州大學(xué)投資與風(fēng)險(xiǎn)管理研究所;
【基金】：福建省自然科學(xué)基金資助項(xiàng)目(2017J01794)
【分類號(hào)】：F832.51
【正文快照】： 1引言隨著社會(huì)的進(jìn)步,醫(yī)療衛(wèi)生條件和經(jīng)濟(jì)生活水平的改善,人類的死亡狀況不斷好轉(zhuǎn),壽命呈現(xiàn)不斷延長(zhǎng)的趨勢(shì)。長(zhǎng)壽風(fēng)險(xiǎn)使得各國(guó)的壽險(xiǎn)業(yè)、養(yǎng)老機(jī)構(gòu)等的金融壓力變大,面臨嚴(yán)重的支付危機(jī),其造成的社會(huì)影響已經(jīng)引起各國(guó)的廣泛關(guān)注。傳統(tǒng)的風(fēng)險(xiǎn)管理方法很難實(shí)現(xiàn)長(zhǎng)壽風(fēng)險(xiǎn)的轉(zhuǎn)移,需

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