随机寿命下财富短缺风险度量  

The Measurement of Wealth Shortfall Risk under Stochastic Life Span

作　　者：张元萍[1] 王力平[1] 

机构地区：[1]天津财经大学经济学院

出　　处：《经济评论》2014年第3期127-138,共12页Economic Review

基　　金：天津财经大学研究生创新基金项目"创新型个人养老金融产品的设计研究"(项目编号:2012TCZ001)资助

摘　　要：本文在随机寿命和随机金融资产收益率的假定下,利用必要财富增长率来度量退休人员的财富短缺风险,即在给定的个人财富过程和给定的置信度(95%)下,在给定的时间段内(死亡时刻之前),使财富值保持为正的最低财富增长率。本文利用随机死亡率模型和退休人员财富变化过程推导退休人员的财富短缺概率,并利用数值算法求解财富短缺概率低于5%时的财富必要收益率。最后,本文从消费的角度划分了三类老年群体:基准群体、遗赠群体和独居群体,比较这三类群体的财富短缺风险特征;之后进行参数敏感性分析,认为消费物价指数和国债收益波动率的增大均加大了老年人的财富短缺风险。本文对必要财富收益率的度量为将来设计多样化养老金融产品的收益率提供了参考标尺。Under the assumption of the stochastic life expectancy and random yield of financial assets, we use the necessary wealth growth rate as a measure of the retirees＇ wealth shortfall risk. The necessary wealth growth rate is the lowest wealth growth rate that, in the given process of personal wealth and under the given confidence level （95 % ）, during the given time period （before death moment）, that makes the personal wealth keep positive. Using stochastic mortality model and personal wealth process, we deduce retirees＇ wealth shortfall probability, and then use the numerical algorithm to calculate the necessary wealth growth rate when the wealth shortfall probability is lower than 5%. Finally, from the perspective of consumption, we divide the old into three groups： the basic group, the bequest group, and the lonely group; then, we compare the characteristics of the wealth shortfall risk among three elderly groups. After the sensitiveness analysis of parameters, we find that CPI and volatility of government bonds exacerbate retirees＇ wealth shortfall risk. Our work figures out the necessary wealth growth rate, and provide references for setting yields of pension financial products.

关 键 词：财富短缺风险 死亡率模型 随机微分方程 财富增长率 

分 类 号：F069.9[经济管理—政治经济学]