极端死亡率风险证券化的理论研究综述  

A Literature Review on Extreme Mortality Risk Securitization

作　　者：谢世清[1] 

机构地区：[1]北京大学经济学院,北京100871

出　　处：《保险研究》2015年第1期92-99,共8页Insurance Studies

基　　金：教育部人文社科研究规划基金项目(编号:12YJA790152)的资助

摘　　要：国际寿险业和理论界在不断地研究探索极端死亡率风险资本市场的创新性解决方案,已取得丰硕的理论成果。本文阐述了本金赔付非累积阈值型和累积阈值型两类极端死亡率债券的设计机制及其定价方面的研究成果;分析了极端死亡率互换的设计机制和定价方面的研究动态;概述了极端死亡率风险衍生工具q远期合约的设计机制和定价方面的研究进展。The international life insurance industry and academia have been constantly exploring innovative solutions to transfer extreme mortality risks to the capital market, and have achieved fruitful theoretical breakthroughs. This paper analyzed the research results on design mechanisms and pricing models of non-cumulative and cumulative principal payment EMBs, presented the research status-quo on design mechanisms and pricing models of extreme mortality swaps, and outlined the research progress on design mechanisms and pricing models of q-forwards, a derivative instrument for extreme mortality risk.

关 键 词：寿险证券化 极端死亡率债券 极端死亡率互换 q远期合约 

分 类 号：F840.62[经济管理—保险]