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本文梳理了几种重要的动态死亡率预测模型,给出了长寿风险度量的三种方法,选取了保险公司及国家官方公布的人口死亡率数据,度量了保险公司的两类长寿风险,对不同方法下长寿风险的度量结果进行比较,并分析了极限年龄与折现率变动对长寿风险影响的敏感性。研究发现:基于保险公司经营稳健性的视角,第一类长寿风险的度量应采用随机模拟法,第二类长寿风险的度量应采用标准公式法;极限年龄的变动对长寿风险的影响较小,保险公司无上调经验生命表极限年龄的必要;长寿风险对折现率的变动较为敏感,提高折现率,保险公司经营中的长寿风险显著降低。
Abstract：This paper summarizes the several important dynamic mortality models,proposes three methods of measuring longevity risk,and measures the two kinds of longevity risk of insurer by using the mortality data from insurance companies and National Bureau of Statistics. The study shows that the results of longevity risk are different in these methods. Based on the prudence principle,insurer should select the stochastic simulation method to measure the first kind of longevity risk,and select the standard formula method to measure the second kind of longevity risk. Moreover,the longevity risk is not sensitive to the terminal age,but sensitive to the discount rate. The longevity risk will decrease significantly by increasing the discount rate.
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1死亡均匀分布假设是本文研究的基础假设,在实证研究部分假设2中具体解释。
1极限年龄的假设依据我国人寿保险公司经验生命表的极限年龄设定,折现率假设参照我国保险公司长期以来2.5%的折现率上限设定,考虑到我国未来人口寿命的延长与我国已于2013年取消人身保险传统寿险产品2.5%的折现率上限,本文后面将对极限年龄和折现率的变动情况做进一步的分析。
2欧洲的Solvency II计算风险资本要求的最低模拟次数为1000次。
3由于80岁以上人口死亡率数据波动较大,可信度较低,因此,本文选择65~80岁人口死亡率作为基础数据,80岁以上人口死亡率通过Gompertz模型来拟合。
1针对极限年龄变动对长寿风险的影响,由于国内外已有的研究探讨过极限年龄变动对第一类长寿风险的影响,本文此处重点探讨极限年龄变动对第二类长寿风险的影响。关于折现率变动的敏感性分析,理由如上,本文也重点探讨折现率变动对第二类长寿风险的影响。
基本信息:
DOI：10.19343/j.cnki.11-1302/c.2015.12.010
中图分类号:F842.3
引用信息:
[1]赵明,王晓军.保险公司长寿风险度量[J].统计研究,2015,32(12):76-83.DOI:10.19343/j.cnki.11-1302/c.2015.12.010.
基金信息:
国家社会科学基金重大项目“我国养老保障体系应对人口老龄化挑战的对策研究”(13&ZD164);; 国家自然科学基金项目“社会保障预算管理研究”(71173230)的资助
2015-12-15
2015-12-15