长寿风险对寿险和年金产品准备金评估的对冲效应研究——基于中国人身保险业经验生命表两次修订视角

发布时间：2018-07-28 10:44

【摘要】：本文结合中国人身保险业经验生命表的两次修订,基于性别、投保年龄、养老金和非养老金业务、保险期限、缴费期限、递延期限和利率假设等多维度视角,采用对冲弹性量化终身型、递延型寿险和年金产品在保单生命周期中责任准备金的对冲效应。研究发现:递延型比终身型对冲效应弱,长寿风险更显著。投保年龄越高、越接近满期对冲效应越弱,长寿风险越显著。保险期间男性比女性对冲效应弱,男性长寿风险更显著,澄清了政府和保险公司承担长寿风险的性别差异。利率越低对冲效应越弱,长寿风险越显著。经验生命表二次修订后,0岁和尾部对冲效应异常波动性明显消失,对冲效应存在减弱趋势且性别差异明显增强,对冲效应利率敏感性减弱。实施第三套生命表后,保险公司应更注重长寿风险。
[Abstract]:Based on gender, insured age, pension and non-pension business, insurance period, contributory period, deferred period and interest rate hypothesis, this paper combines two revisions of life table of personal insurance experience in China, such as: gender, age of insurance, pension and non-pension business, insurance period, payment period, deferred period and interest rate hypothesis, etc. Hedging elasticity is used to quantify the hedge effect of liability reserve in life cycle of life insurance and annuity products. It is found that the delayed type is weaker than the lifetime type and the risk of longevity is more significant. The higher the insured age, the weaker the hedging effect is, and the more significant the longevity risk is. During the insurance period, the hedge effect of men was weaker than that of women, and the male longevity risk was more significant, which clarified the gender difference between government and insurance companies. The lower the interest rate, the weaker the hedge effect, the more significant the longevity risk. After the second revision of empirical life table, the abnormal volatility of hedging effect of 0 years old and tail obviously disappeared, the trend of hedging effect was weakened, the gender difference was obviously strengthened, and the sensitivity of interest rate of hedging effect was weakened. After implementing the third set of life forms, insurance companies should pay more attention to longevity risk.
【作者单位】：复旦大学经济学院;
【基金】：国家自然科学基金青年项目(71401041);国家自然科学基金重大项目“公平、活力与可持续——老龄社会的经济特征及支持体系研究”(71490734) 教育部人文社会科学研究青年基金项目(14YJCZH025) 中国特色社会主义经济建设协同创新中心的资助
【分类号】：F842.6

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