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  

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

作　　者：段白鸽[1] 栾杰[1] 

机构地区：[1]复旦大学经济学院,上海200433

出　　处：《保险研究》2017年第4期15-34,共20页Insurance Studies

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

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。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 elasticity. The main conclusions were as follows. 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 latter. 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 significant. 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- surer＇ s gender differentiation for underwriting the longevity risk. Fourthly, the lower the interest rate, the weaker the hedging effect, thereby the more significant the longevity risk. 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- sitivity to hedging effect became weaker. Therefore, after the adoption of the third Chinese life insurance mortality table, insurance companies should pay more attention to longevity risk.

关 键 词：长寿风险 责任准备金 经验生命表 对冲效应 利率弹性 

分 类 号：F842.4[经济管理—保险]