本文選題：長壽風險　切入點：長壽互換　出處：《吉林大學》2014年碩士論文

【摘要】：隨著我國人口老齡化趨勢的加劇，長壽風險已成為現(xiàn)代養(yǎng)老保險體系發(fā)展所面臨的重要風險，長壽風險是指人的實際壽命超過預期壽命所帶來的未來養(yǎng)老金缺口的風險。人口壽命延長將使保險公司或社會養(yǎng)老保險機構(gòu)的養(yǎng)老金未來給付年限和給付額度增加,導致負債大于資產(chǎn)的風險，出現(xiàn)養(yǎng)老金缺口，危及社會安定。因此作為社會養(yǎng)老保險提供者的政府和保險企業(yè)機構(gòu)越來越重視長壽風險，積極尋找長壽風險的管理方法。 長壽風險證券化是一種在保險風險證券化的基礎上發(fā)展起來的管理長壽風險的金融工具，是指壽險公司通過長壽債券的發(fā)行或長壽互換等方式，將死亡率及債券的收益緊密聯(lián)系，從而將長壽風險轉(zhuǎn)移到資本市場的證券化過程。與傳統(tǒng)的長壽風險管理方法相比，長壽風險證券化成本更低、風險承擔能力更強、與長壽風險在時間上的匹配更好；同時長壽風險證券化產(chǎn)品的出現(xiàn)為保險金的運作提供了新的方向，也使投資者有了新的投資方式選擇，能夠使資本市場風險的降低。定價模型是長壽風險的證券化研究頗為重要的內(nèi)容。長壽風險的定價是建立在生存概率模型的基礎上，生存概率模型需要通過死亡率模型得到。因此，長壽風險的研究主要集中在死亡率模型的預測上。 本文將從長壽風險的內(nèi)涵入手，，闡述長壽風險的產(chǎn)生原因、影響以及傳統(tǒng)的長壽風險管理方式，并指出這些傳統(tǒng)方法的不足，從而引出長壽風險證券化的管理方法。接著將詳細介紹長壽風險證券化的含義及三種證券化工具，并對其一般形式及運行機制進行闡述；重點介紹長壽互換的分類及運行機制，并分析其優(yōu)缺點。最后將以長壽互換為例，對其定價模型進行建模，通過檢驗得出貝葉斯MCMC能夠?qū)ξ覈丝诮y(tǒng)計數(shù)據(jù)進行更好的擬合的結(jié)論。
[Abstract]:With the increasing trend of aging population in China, longevity risk has become an important risk faced by the development of modern old-age insurance system. Longevity risk refers to the risk of a future pension gap caused by a person's actual life span exceeding life expectancy. An increase in the population's life span will increase the number of years and the amount of future pension benefits to be paid by insurance companies or social pension insurance institutions. Therefore, the government and insurance enterprises, as providers of social pension insurance, pay more and more attention to the risk of longevity and actively look for the management method of longevity risk. Longevity risk securitization is a kind of financial tool for managing longevity risk, which is developed on the basis of insurance risk securitization. The long life risk is transferred to the securitization process of the capital market. Compared with the traditional longevity risk management method, longevity risk securitization has lower cost and stronger risk bearing capacity. At the same time, the emergence of securitization products of longevity risk provides a new direction for the operation of insurance funds and gives investors a new choice of investment mode. Pricing model is an important part of securitization research on longevity risk. The pricing of longevity risk is based on survival probability model. The survival probability model needs to be obtained by the mortality model. Therefore, the study of longevity risk is mainly focused on the prediction of mortality model. This article will start with the connotation of longevity risk, expound the reason, influence and traditional management method of longevity risk, and point out the deficiency of these traditional methods. Then the meaning and three securitization tools of longevity risk securitization are introduced in detail, and its general form and operation mechanism are expounded, and the classification and operation mechanism of longevity risk securitization are introduced in detail. Finally, taking the longevity swap as an example, the pricing model is modeled, and the conclusion that Bayesian MCMC can better fit the demographic data of our country is obtained by testing.
【學位授予單位】：吉林大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F842.67

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