本文選題：長壽風險　切入點：Lee-Carter動態(tài)死亡率模型　出處：《湖南大學》2014年碩士論文

【摘要】：壽險公司未來的現(xiàn)金流受到許多不確定因素的影響，長壽風險是其中非常重要的因素之一。隨著醫(yī)療衛(wèi)生科技的進步與人類生活質(zhì)量的提高，人類平均壽命日趨延長，且由于傳統(tǒng)風險管理方法很難有效分散或轉(zhuǎn)移日趨嚴重的長壽風險，長壽風險正日趨嚴重地威脅經(jīng)營年金、養(yǎng)老金的壽險公司與社保計劃的償付能力及經(jīng)營狀況。壽險產(chǎn)品為養(yǎng)老金產(chǎn)品面臨的長壽風險提供了一個天然的對沖，自然對沖策略正成為管理長壽風險的一種重要方法和工具。因此，本文著眼于日益嚴重的長壽風險，提出了不同人群間的聯(lián)合長壽風險測度方法并由此構(gòu)建了壽險公司的業(yè)務線自然對沖策略。 本文首先介紹隨機死亡率模型、Lee-Carter模型及其參數(shù)估計方法。在此基礎上，引入損失率指標，構(gòu)建邊際長壽風險的測度方法，以度量壽險公司單條業(yè)務線面對的長壽風險。然后將Copula方法引入測度模型，應用于不同人群間非線性相關聯(lián)合死亡率的預測，引入損失率以度量壽險公司多條業(yè)務線的長壽風險。運用以上構(gòu)建的模型，使用VaR作為風險度量結(jié)合馬科維茨投資組合理論，提出了壽險公司業(yè)務線自然對沖策略。 基于美國與英國1933-2010年0-100歲人群中心死亡率數(shù)據(jù)，通過本文提出模型調(diào)整業(yè)務比例，即90.5%的保費收入來自于年金業(yè)務，9.5%來自于壽險，，可達到對長壽風險的內(nèi)部對沖的最優(yōu)業(yè)務組合。優(yōu)化后業(yè)務組合損失率VaR95%值減小為1.0001，低于任一業(yè)務線邊際風險：壽險業(yè)務的1.0625，年金業(yè)務的1.0063；以及在原業(yè)務組合比例為1:1的假設下業(yè)務組合損失率的VaR95%值1.0280。 相關研究成果可為壽險公司等的長壽風險管理提供新的思路，有助于解決由長壽風險引起的償付能力不足問題，有利于提高壽險公司的經(jīng)營安全。
[Abstract]:Life insurance company's future cash flow is affected by many uncertain factors, longevity risk is one of the most important factors.With the progress of medical and health science and technology and the improvement of the quality of human life, the average life expectancy of human beings is lengthening day by day, and the traditional risk management methods are difficult to effectively disperse or transfer the increasingly serious longevity risks.Longevity risks are increasingly threatening the solvency and operating status of annuity, pension life insurance companies and social security schemes.Life insurance products provide a natural hedge for the longevity risks faced by pension products, and natural hedging strategies are becoming an important method and tool for managing longevity risks.Therefore, in view of the increasingly serious longevity risk, this paper puts forward a joint longevity risk measurement method among different people and constructs the natural hedging strategy of life insurance company's business line.This paper first introduces the random mortality model Lee-Carter model and its parameter estimation method.On this basis, the loss rate index is introduced to measure the marginal longevity risk in order to measure the longevity risk faced by a single line of business of life insurance companies.Then the Copula method is introduced into the measurement model to predict the nonlinear correlation joint mortality among different populations and the loss rate is introduced to measure the longevity risk of multiple business lines of life insurance companies.Based on the above model, using VaR as risk measure and Markowitz portfolio theory, this paper puts forward the natural hedging strategy of life insurance company's line of business.Based on the data of the central mortality rate of the population aged 0-100 years from 1933 to 2010 in the United States and the United Kingdom, this paper proposes a model to adjust the proportion of business, that is, 90.5% of premium income comes from annuity business and 9.5% from life insurance.The optimal portfolio for internal hedging of longevity risks can be achieved.After optimization, VaR95% of business portfolio loss rate is reduced to 1.0001, which is lower than the marginal risk of any business line: 1.0625 of life insurance business, 1.0063 of annuity business, and 1.0280 of VaR95% loss rate of business combination under the assumption that the proportion of original business portfolio is 1:1.The related research results can provide a new idea for longevity risk management of life insurance companies, help to solve the problem of insufficient solvency caused by longevity risk, and help to improve the operation safety of life insurance companies.
【學位授予單位】：湖南大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F224;F840.3

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