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长寿风险对寿险和年金产品准备金评估的网沙巴体育平台研究——基于中国人身保险业经验生命表两次修订视角


信息来源:https://www.45wp.com 时间:2019-09-03 09:10

Longevity 风险' s Hedging Effect on the Reserve Valuation of Life Insurance and Annuity Products : --Based on the Two Revisions of Chinese Life Insurance Mortality Table

摘要本文接合的奇纳河人寿管保代理人性命表的两个校对。,因为性特点、掩护年纪、寄宿学校和非寄宿学校事情、管保最后期限、报酬最后期限、延缓最后期限与利息率防备的多维视角,用对冲可塑度大众化的观念量子化终身的典范、递延型寿险和年金生利在保单性命周期中债务保护区的网沙巴体育平台。调查查明:递延型比终身的型网沙巴体育平台弱,短命风险更要紧。被管保人年纪越大、越切呼气网沙巴体育平台越弱,生计风险越大。管保时间男人比女性网沙巴体育平台弱,男人短命风险更要紧,廓清内阁间短命风险的性特点差异。利息率越低网沙巴体育平台越弱,生计风险越大。在第二次严厉批评《亲身参与活着的表》较晚地,0岁和燕尾服网沙巴体育平台非常波动性升半音收拾餐桌,网沙巴体育平台在削弱随意移动且性特点差异升半音帮助,网沙巴体育平台利息率易受影响或损害的状态削弱。第三套性命表施行后,管保代理人霉臭每个人关怀短命风险。Based on a multidimensional perspective including the gender and age of the insured, non-pension busi- ness, the term of insurance, the term of premium payment, the deferred period and the interest rate assumptions and so on, and taking into consideration the two revisions of the Life Insurance Mortality Table, the paper innovatively proposed to quantify the hedging effects of the liability reserves during the entire life cycle of whole life insurance and whole life annuities, and deferred life insurance and deferred annuities by employing hedging 可塑度。 The main conclusions were as 尾随。 Firstly, the hedging effect on deferred products was weaker than on whole life products, thus the former was exposed to more significant longevity risk than the 后者。 Secondly, the higher the in- suredb age and the closer of the policy to the expiration of insurance period ,the weaker the hedging effects ,thus the longevity risk was more 意思优异的。 Thirdly, the hedging effect on males was weaker than on females during the term of insurance, thus the longevity risk of males was more significant than that of females ,justifying government and in- 必定的 s gender differentiation for underwriting the longevity 风险。 Fourthly, the lower the interest rate, the weaker the hedging effect, thereby the more significant the longevity 风险。 Finally, after the two revisions of the mortality table, the abnormal volatilities of hedging effect disappeared at both the age of 0 year and the tail of insurance term, the hedging effect showed a weakening trend and its gender differences significantly increased, and the interest rate sen- 选址 to hedging effect became 较弱。 Therefore, after the adoption of the third Chinese life insurance mortality table, insurance companies should pay more attention to longevity 风险。

作者段责任栾杰DUAN Baige, LUAN Jie ( School of Economics, Fudan University, Shanghai 200433 )
出处管保调查CSSCI北京大学的古地块 2017年第4期15-34,共20页 Insurance Studies

基金[突出]获国家自然科学基金奖。、教育部人类社会科学调查青年基金、国家自然科学基金优异的项目清楚地、生机与可支撑的--老龄社会的财务状况特点及倒退系统调查”(71490734)和奇纳河特色社会主义财务状况建设增效创始磁心的赞助.

关键词短命风险债务保护区亲身参与性命表网沙巴体育平台利息率可塑度longevity risk liability reserves experience life table hedging effect interest rate elasticity

著作家 段责任,财务状况学博士,财务状况学院风险办理与管保系读经者,奇纳河精细保险计算员师,调查轴承:保险计算员和定量风险办理; 栾杰,复旦大学财务状况学院金融学硕士学位,调查轴承:财务办理与财务司机。