长寿连接型年金的定价及其风险分摊机制研究  

Valuation of longevity-linked life annuity and its risk-sharing mechanism

作　　者：胡仕强 陈荣达 HU Shiqiang;CHEN Rongda(School of Finance,Zhejiang University of Finance and Economics,Hangzhou 310018,China)

机构地区：[1]浙江财经大学金融学院,杭州310018

出　　处：《系统工程理论与实践》2022年第3期604-616,共13页Systems Engineering-Theory & Practice

基　　金：教育部规划基金(20YJA790025);国家自然科学基金重点项目(71631005)。

摘　　要：长寿连接型年金通过嵌入长寿期权,赋予年金发行人动态调整实际支付的权利.这种根据真实死亡率构建的支付结构,厘清了年金中长寿风险的权责关系,也重塑了长寿风险的分摊机制,是当前年金长寿风险研究中的前沿和热点问题.文章应用贝叶斯MCMC算法对长寿连接型年金进行定价与风险评估,检验了年金长寿风险在发行人和持有人之间,以及在加入政府之后的三方之间的转移分摊机制.研究结果表明:长寿连接型年金从根本上消除了长寿风险造成的超额偿付压力,年金持有人的效用状况也优于同价格传统年金.而政府以税收递延方式的参与,可以在不改变年金发行人风险状况的前提下,分摊年金持有人的部分长寿风险,进一步提升了持有人的效用水平.数值模拟结果表明,税收优化设计的政策效应明显,可显著改善长寿风险分摊比例并提升该新型年金的吸引力.With the embedded longevity option,the insurer will be entitled to adjust the annual payments of an annuity policy according to the actual mortality rates.This kind of mechanism can clarify the authority-responsibility relationship of the annuity products and reset its risk-sharing status quo,and has now been a hot topic in longevity risk management.In this article,we use the Bayesian Markov Chain Monte Carlo algorithm to value longevity floor and longevity-linked life annuity so as to examine the longevity risk-sharing mechanism between insurer and annuitant,and further the tripartite mechanism with government involved.The results indicate that the longevity-linked life annuity can fundamentally take the longevity risk solvency pressure out of insurer,and benefit annuitant with a utility valuation higher than the traditional annuity policy with same price.The government’s participation in longevity-linked life annuity in an income tax deferral way can share part of longevity risk undertaken by the annuitants and enhance their utility level with the risk profile of insurers unchanged.This improved situation can’t be achieved by the combination of tax deferral strategy and traditional annuity policy.The results also show the designment of tax deferral policy matters in risk-sharing and utility level.

关 键 词：长寿连接型年金 风险分摊 税收递延 贝叶斯MCMC算法 

分 类 号：F840[经济管理—保险]