基于金融衍生工具视角的长寿风险管理

长寿风险已成为养老保障发展所面临的重要风险,而作为养老保障产品供给者的政府、年金和寿险公司等机构难以持续、有效地管理长寿风险。本文在分析长寿风险发展态势和现有管理方案的缺陷后,研究了最近的长寿风险管理工具创新及其发展动向,即死亡率巨灾债券、EIB/BNP长寿债券和远期等,并在此基础上分析了基于资本市场的长寿/死亡率风险相关衍生品设计与交易,包括长寿债券、死亡率互换、死亡率期货和死亡率期权,最后是长寿/死亡率衍生品交易市场建设的启示。

Longevity risk management from the perspective of financial derivative tools

The longevity risk exposures of government organs,life assurers,annuity providers and pension plans are increasing,while the existing solutions are inefficient.We analyze the influences of longevity risk and the defects of current several means of managing longevity risk.Then the Swiss Re mortality bond,the EIB/BNP longevity bond and-forward are studied.The author discusses designs of mortality/longevity-linked securities and derivatives,such as longevity bonds,mortality swaps,mortality futures and mortalit...