我国个人年金长寿风险的资本要求度量  

Measurement of Capital Requirements of Longevity Risk in Chinese Individual Annuity Products

作　　者：王志刚[1,2] 王晓军[1] 张学斌[1] 

机构地区：[1]中国人民大学,北京100872 [2]内蒙古财经大学,内蒙古呼和浩特010000

出　　处：《保险研究》2014年第3期20-32,共13页Insurance Studies

摘　　要：随着人口平均寿命的延长,系统性的长寿风险正在逐步成为理论界和保险业关注的热点。然而,以往研究大多止步于对死亡率的期望估计,很难满足实践中对长寿风险资本需求的度量。本文采用Bootstrap方法将研究拓展到死亡率的分布上,并以此为基础计算年金保单组现值的分布,度量年金保单组长寿风险的风险价值及其资本要求。结果表明,虽然经营年金业务保险公司为了应对长寿风险需要额外的资本准备,但中短期内这种资本要求并不高,保险公司可以通过增收保费和提高资本市场收益来达到相应的要求。As the extension of the population＇ s life expectancy, the systemic longevity risk is drawing more and more attention from the researchers and the insurance industry. However, most of previous researches are confined within the scope of mortality estimates, therefore hardly meeting the needs for measuring practical capital require ments for the longevity risk. This paper tried to get the distribution of mortality by using the Bootstrap method, and based on this result, calculated the present value of blocks of annuity policies. Then it measured the VaR and the corresponding capital requirements of longevity risk in the block. The results showed that although the longevity risk in annuity business required additional capital, the capital requirements was not high in the short to medium term, which could be covered by increasing premiums and investment income from the capital market by insurance compa nies.

关 键 词：长寿风险 资本需求 BOOTSTRAP 风险价值 

分 类 号：F840.4[经济管理—保险]