我国人口死亡风险异质与混合模型研究  

Study on the Heterogeneity of Population Death Risk and Mixed Mortality Model in China

作　　者：赵明 王晓军[2] Zhao Ming;Wang Xiaojun

机构地区：[1]首都经济贸易大学金融学院 [2]中国人民大学统计学院

出　　处：《统计研究》2023年第3期139-150,共12页Statistical Research

基　　金：国家社会科学基金重点项目“我国基本养老保险制度研究”(20AZD075);教育部哲学社会科学研究重大课题攻关项目“健康中国2030背景下的健康老龄化体系优化研究”(20JZD023);全国统计科学研究重点项目“新时代人口长期均衡发展综合评价指标体系研究”(2022LZ36);首都经济贸易大学青年学术创新团队项目“大数据背景下健康老龄化综合评价指数体系与精算测度研究”(QNTD202104);北京市属高等学校优秀青年人才培育计划项目(The Project of Cultivation for young top-motch Talents of Beijing Municipal Institutions)“大数据背景下老年人健康预期寿命不平等的多维测度研究”(BPHR202203166)。

摘　　要：多人口随机死亡率模型是人口统计和保险精算领域的前沿问题。建立符合我国人口特征的死亡率预测模型,对人口预测、长寿风险度量和积极管理长寿风险具有重要意义。然而,当前研究中对人口死亡风险异质性问题的关注较少,不能为多人口随机死亡率建模提供科学的研究假设。本文从我国人口死亡风险异质性的检验出发,构建两性别人口死亡率联合预测的混合泊松公因子模型,并给出极大似然参数估计的迭代算法,对我国男女两性别人口死亡率进行联合建模和预测,最后用于对保险公司养老年金的长寿风险资本需求测算。研究表明,混合泊松公因子模型能够有效刻画人口死亡风险的异质性,提升模型拟合优度,有效避免传统模型低估人口死亡率改善的弊端,并且死亡率性别比变动趋势符合人类生物规律。在风险导向的第二代偿付能力体系下,本文提出的死亡率模型能够为保险公司提供更稳健的长寿风险资本评估。Multi-population stochastic mortality model is a frontier issue in the fields of population statistics and actuarial science.It is meaningful to establish a mortality forecasting model in line with the characteristics of Chinese population for population forecast,longevity risk measurement and active management.However,the current research pays less attention to the heterogeneity of population death risk,which can not provide scientific research assumptions for multi-population stochastic mortality modeling.Based on the test of the heterogeneity of death risk in China,this paper constructs a Mixed Poisson Common Factor Model for the joint forecasting of male and female mortality.Furthermore,the iterative algorithm of maximum likelihood parameter estimation is given to jointly forecast the mortality of men and women in China,so as to provide a scientific basis for insurance companies to deal with the risk of longevity.The research shows that the Mixed Poisson Common Factor Model can effectively describe the heterogeneity of population death risk,improve the fitting of the model,effectively avoid the disadvantages of traditional models underestimating the improvement of population mortality,and the change trend of mortality sex ratio is in line with human biological laws.Under the second generation of China’s risk oriented solvency system,this study can provide a more robust additional capital reserve for the longevity risk evaluation of insurance companies.

关 键 词：人口死亡率 死亡异质性 混合泊松模型 长寿风险 

分 类 号：F840.62[经济管理—保险]