动态死亡率下个人年金的长寿风险分析

传统的精算定价方法假定死亡率是静态的,实际上死亡率是随时间而变动的具有动态不确定性的变量。在动态死亡率的框架下定量分析长寿风险对于个人年金产品定价的影响:引入Wang转换的风险定价方法度量长寿风险的市场价格,并运用模拟分析的方法分析长寿风险对个人年金定价的影响。最后,基于分析结果,就保险公司如何管理这一风险给出建议。

Longevity Risk Analysis of Individual Annuity under Dynamic Mortality

Mortality is assumed to be static in the traditional actuarial pricing,but it is actually a variable changes with time with dynamic uncertainty.This paper quantitatively studied the impact of longevity risk on annuity pricing under the dynamic mortality framework.The Wang Transformed pricing method was applied to measure the market price of the longevity risk.And the Simulation method was used to analyze the impacts of the longevity risk on annuity pricing.At last,based on the above empirical results,the paper offered some suggestions on how to manage longevity risk for insurance companies.