基于风险立方方法的长寿风险债券定价研究  

Pricing Longevity Bonds with the Risk Cubic Model Approach

作　　者：田玲[1] 姜世杰[1] 樊毅[2] 

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072 [2]中南林业科技大学经济学院,湖南长沙410004

出　　处：《保险研究》2017年第7期3-12,共10页Insurance Studies

基　　金：湖南省社科基金项目(11YBA343);(14YBA093);省情与决策咨询项目(2012BZZ29);湖南省教育厅优秀青年项目(17B286)的阶段性研究成果

摘　　要：面对世界范围内长寿风险越来越严峻的趋势,长寿风险管理成为全世界面临的共同难题。近年来死亡率风险证券化引起人们的广泛关注,长寿债券作为死亡率风险证券化中最常用的一种方法,可以有效地将长寿风险转移至资本市场。本文通过对国外经典死亡率债券的比较,在离散型死亡率模型假设条件下,设计一支可调整上触碰点的触发型长寿债券,运用带永久跳跃的APC模型和风险立方方法对长寿债券进行定价。实证结果显示风险溢价的结果比较稳定,设置不同的初始上触碰点,风险溢价差异较大。Managing the longevity risk is a common task for every country in the world as the longevity risk is more and more grave globally. In recent years, people pay more attention to the mortality risk securitization. Longevity bonds, as a most commonly used method of mortality risk securitization, can effectively transfer the longevity risk to the capital market. Based on the comparison of foreign classic longevity bonds＇ designs and discrete mortality model assumptions,we designed a longevity bond with adjustable upper trigger point, and priced the longevity bond using APC model with permanent jump and Risk Cubic Model. The empirical results showed that the risk premium was relatively stable, and the risk premium varied significantly when applying different upper trigger points.

关 键 词：长寿风险 APC模型 风险立方方法 

分 类 号：F840.6[经济管理—保险]