本文選題：長壽風險 + 養(yǎng)老金融　； 參考：《天津財經(jīng)大學》2015年博士論文

【摘要】：人口老齡化已成為21世紀不可逆轉(zhuǎn)的世界性趨勢,同時也對經(jīng)濟和社會產(chǎn)生了不可忽視的影響。我國基本養(yǎng)老保障尚未完善,長壽風險的凸顯給養(yǎng)老資金儲備造成了很大壓力。然而,不論是宏觀經(jīng)濟發(fā)展的需要,還是微觀主體財務自由的訴求,大力發(fā)展商業(yè)養(yǎng)老保障以緩解社會養(yǎng)老壓力將是一條可行之路。本文從養(yǎng)老金融的角度出發(fā),設計養(yǎng)老金融產(chǎn)品,作為社會基本保障之外的補充,完善微觀個體的養(yǎng)老理財規(guī)劃。養(yǎng)老金融是以銀發(fā)族為主要服務目標群體,以老年服務為產(chǎn)品開發(fā)特征,以老齡化為引領的、潛力巨大的金融服務產(chǎn)業(yè),養(yǎng)老引致金融,金融改變養(yǎng)老。養(yǎng)老金融依托政府、企業(yè)以及金融機構(gòu)服務于老年人,從內(nèi)容上可以大體分為宏觀的養(yǎng)老金投資運營和微觀的養(yǎng)老金融產(chǎn)品開發(fā)兩個方面。在宏微觀兩個層面,金融與養(yǎng)老之間存在不斷地自我加強的理論邏輯。從宏觀層面講,養(yǎng)老金(包括基本養(yǎng)老金的個人賬戶、社�；鸷推髽I(yè)年金)的保值增值需要靠一些長期的金融工具在穩(wěn)定的金融市場上才能實現(xiàn)；與此同時,大規(guī)模的養(yǎng)老金進入資本市場也會給整個市場的交易機制、產(chǎn)品設計、政策法規(guī)等帶來很大的改觀。從微觀層面來看,為滿足老年人的財富管理需求而設計的理財產(chǎn)品,包括信貸類的住房反向抵押貸款、投資類的長壽債券以及保險類的年金產(chǎn)品等等,也都是金融創(chuàng)新的體現(xiàn)。本文從微觀角度入手,立足于個人長壽風險管理,為存在養(yǎng)老需求的消費者設計一種創(chuàng)新型的個人年金產(chǎn)品,既能滿足不同年齡段的消費者進行養(yǎng)老儲蓄的需求,又在較低的價格上為退休人員提供最大限度的長壽風險覆蓋。從整個生命周期來講,青年、中年以及老年三個階段對財富量要求及風險的偏好程度不同,導致了生命周期資產(chǎn)組合配置的差異性。本文將養(yǎng)老需求加入到生命周期投資模型中,即,將年金產(chǎn)品作為組合資產(chǎn)之一,在整個生命周期內(nèi)完成對養(yǎng)老的最優(yōu)安排。本文從個人長壽風險度量、創(chuàng)新型個人養(yǎng)老金融產(chǎn)品設計以及最優(yōu)投資消費組合這三個方面展開研究,具體內(nèi)如下：隨機壽命下個人長壽風險度量。個人長壽風險即為老年人手中財富不足以滿足晚年消費的財富短缺風險。本文利用隨機微分方程的形式定義了老年人的財富變化過程,并結(jié)合生存概率推導出財富短缺概率。本文將必要財富增長率作為個人長壽風險的量化指標,即,使老年人的財富在τ(死亡時刻)內(nèi)短缺的概率小于5%的最低財富增長率。此外,本文從消費的角度劃分了三類老年群體：基準群體、遺贈群體和獨居群體,并比較這三類群體的個人長壽風險特征。遺贈群體面臨的個人長壽風險水平低于基準群體,獨居群體的個人長壽風險水平最高,而且個人長壽風險高峰出現(xiàn)的時間最早。老年人的財富短缺概率受經(jīng)濟參數(shù)的影響不容忽視,消費物價指數(shù)和國債收益波動率的增大均加劇了老年人的個人長壽風險；消費物價指數(shù)的正向作用不斷收斂,而國債收益率的波動會對老年人的財富產(chǎn)生擴張性的侵蝕。長壽指數(shù)延遲年金的設計與定價。本文從養(yǎng)老金融產(chǎn)品創(chuàng)新的角度,緩解了年金的供給和需求的矛盾：長壽指數(shù)延遲年金(LIDA)在轉(zhuǎn)移了年金提供者的部分系統(tǒng)性長壽風險的同時,以較低的價格為年金購買者提供了大部分長壽風險覆蓋。文章從兩個維度衡量LIDA的價值：首先,長壽風險轉(zhuǎn)移的維度,利用LIDA的定價量化系統(tǒng)性風險的轉(zhuǎn)移程度；其次,長壽風險的覆蓋維度,利用離散時間下的動態(tài)最優(yōu)化數(shù)值算法計算LIDA系列產(chǎn)品的等價財富,進而得到產(chǎn)品的長壽風險覆蓋率。實證結(jié)果表明,長壽指數(shù)年金可以以較低價格提供80%以上的長壽風險覆蓋,而LIDA為老年人提供了一系列更低價格、不同長壽風險覆蓋程度的產(chǎn)品。老年人購買LIDA可以在保證長壽風險覆蓋的同時,滿足自身的流動性需求和遺產(chǎn)需求。金融創(chuàng)新產(chǎn)品的組合拓展——生命周期最優(yōu)資產(chǎn)配置。本文構(gòu)建了考慮勞動收入和死亡率的隨機生命周期投資模型,在這個框架下分析消費者如何在股票、債券和年金等三類資產(chǎn)上配置以獲得一生的最大效用,并細致比較了三類不同群體(基準群體、遺贈群體和獨居群體)的不同配置特征。實證分析表明,三類群體在退休后收入、消費理念等方面有很大不同,這直接決定了其在年金購買和資產(chǎn)配置行為中的差異�；鶞嗜后w37歲開始購置年金資產(chǎn),退休之后,消費者的投資行為偏保守。相比基準群體,遺贈群體年金的購置比例偏低,退休之后債券比例不斷上升,并一直延續(xù)到生命終止。獨居群體對年金的配置比例最高,退休后的投資行為也最為保守,在長壽風險高峰之前,就不再持有任何金融資產(chǎn)。此外,LIDA系列不單有提供退休后基礎保障的60歲起付的產(chǎn)品,還有針對長壽風險覆蓋的高齡階段起付的產(chǎn)品。兩類產(chǎn)品都能給消費者帶來顯著的福利效應,尤其是當放寬LIDA的購買時限,高齡起付的LIDA產(chǎn)品對消費者的效用提升更加顯著。通過對長壽風險以及養(yǎng)老金融產(chǎn)品的研究,本文認為在實際工作中應全面識別并動態(tài)測度長壽風險,大力開發(fā)包括年金產(chǎn)品在內(nèi)的銀行、保險以及基金類的多層次養(yǎng)老金融產(chǎn)品,以方便消費者在全面認識長壽風險的前提下,在整個生命周期內(nèi)進行養(yǎng)老規(guī)劃。
[Abstract]:Population aging has become a worldwide trend in twenty-first Century irreversible, but also have a great influence on economy and society. China's basic old-age security has not been perfect, highlighting the longevity risk has caused great pressure to the pension fund reserves. However, whether it is need to macro economic development, or the micro subject of financial freedom the demands of the development of commercial pension insurance, in order to alleviate the pressure of pension will be a feasible way. This paper from the perspective of old-age pension finance, financial product design, as a supplement to other basic social security, improve the individual pension financial planning. Pension finance is to seniors as the main service target groups, the elderly service for the development of product characteristics, leading to aging as the huge potential of the financial services industry, financial changes arising from financial endowment, pension pension. Financial enterprises rely on the government. Business and financial institutions in the elderly, and the contents can be divided into two aspects: macro and micro pension pension investment operations and financial product development. In the macro and micro two aspects of existing theoretical logic constantly self reinforcing between financial and pension. From the macro level, the basic pension (including pension personal accounts, social security funds and enterprise annuity) value need to rely on some long-term financial instruments in stable financial markets can be realized; at the same time, trading mechanism, large-scale pension to enter the capital market will give the market the product design, policies and regulations greatly improved. From the micro level, and design in order to meet the needs of the elderly demand for wealth management financial products, including credit class housing reverse mortgage loan, investment and insurance of longevity bonds in gold products And so on, are also reflected in financial innovation. In this paper, based on the individual longevity risk management, design an innovative for the existence of consumer demand for personal pension annuity products, can satisfy the consumers of different ages for pension savings needs, and at a lower price for retirement the maximum longevity risk coverage. Young people from the whole life cycle in terms of wealth, requirements and risk preference of middle-aged and older three different stages, lead to differences in the life cycle of asset portfolio allocation. This paper will be added to the pension needs of life cycle investment model, namely, the annuity products as portfolio one of the complete arrangement of the optimal pension in the entire life cycle. From the personal longevity risk measure, innovative individual pension financial product design and optimal consumption and investment combination Research on these three aspects, specific as follows: stochastic life longevity risk measure. The individual person is elderly longevity risk is not sufficient to meet the old age consumption wealth of wealth in the hands of shortage risk. This paper uses the stochastic differential equation in the form of the definition of wealth changes in the elderly, and combined with the survival probability is derived. The probability of shortage of wealth the necessary wealth growth rate as the index, the risk of personal longevity, the elderly wealth in the tau (death) the lowest probability is less than 5% in the shortage of wealth growth rate. In addition, this paper is divided into three categories of older age groups from the angle of consumption: reference groups, groups and solitary legacy groups, and more these three groups of individual longevity risk characteristics. Legacy groups face personal longevity risk level is lower than the reference group, groups of individuals living alone longevity risk level is the highest, and personal The longevity risk peak in the earliest time. Influence of wealth of the elderly by economic shortage probability parameters can not be ignored, the consumer price index increased and Treasury yield volatility are exacerbated by the elderly individual longevity risk; continuous convergence of positive effect of the consumer price index, erosion yields fluctuations for the elderly wealth in the expansion. The design and pricing of longevity index delay. This paper from the pension annuity financial product innovation angle, ease the contradiction between supply and demand of pension: long delay index (LIDA) in the transfer of pension annuity provider system of longevity risk at the same time, provides the most longevity risk with low coverage the price for the annuity buyers. Measure LIDA from two dimensions: first, the value of the longevity risk transfer dimension, using quantitative risk pricing system of LIDA Transfer degree; secondly, covering the dimensions of longevity risk, wealth equivalent calculation of LIDA series of products using dynamic optimization algorithm in discrete time, and then get the longevity risk coverage. The empirical results show that longevity index annuity can provide more than 80% longevity risk coverage at a lower price, and provides a series of lower LIDA the price for the elderly, different longevity risk degree of coverage products. The elderly to buy LIDA can guarantee the longevity risk coverage at the same time, to meet their liquidity needs and heritage needs. Combination of financial innovation product development life cycle optimal asset allocation. This paper constructs the stochastic life cycle investment model of labor income and mortality considerations how consumers in the stock analysis under this framework, the maximum utility bonds and annuities and other three categories of assets are configured for life, and fine By comparing three kinds of different groups (reference group, group and group of the living legacy of different configuration). The empirical analysis shows that the three groups in retirement income are quite different in terms of consumption concept, which directly determines the difference in the annuity purchase and asset allocation behavior. Benchmark groups began to purchase pension assets at the age of 37, after the retirement, the investment behavior of consumers is conservative. Compared with the reference group, the proportion of group annuity purchase bequest is low, the proportion of bonds rising after retirement, and lasted until the end of life. Living groups on the allocation of the highest proportion of pension after retirement, investment behavior is the most conservative, before the peak of longevity risk that will no longer hold any financial assets. In addition, the LIDA series not only provide basic guarantee after retirement at the age of 60 to pay the products, as well as for elderly longevity risk coverage products to pay Two. Products can bring welfare effect to consumers, especially when the purchase of LIDA relaxation time, the elderly pay LIDA products to consumers to enhance the effectiveness of more significant. Through the study of longevity risk and pension financial products, this paper argues that in the actual work should fully recognize and measure the dynamic longevity risk, develop annuity products, including banking, insurance and fund the multi-level pension financial products, for the convenience of consumers in the premise of a comprehensive understanding of longevity risk, pension plan in the whole life cycle.

【學位授予單位】：天津財經(jīng)大學
【學位級別】：博士
【學位授予年份】：2015
【分類號】：F842.6;F832

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