【摘要】 作为老龄社会的重要风险,长寿风险专题研究是近20年来公共养老金领域、保险公司关注的热点。长寿风险引发的保险公司寿险产品定价高估和年金产品定价低估之间存在潜在的自然对冲效应。为了量化这种对冲效应的长期影响,本文基于构建的同时涵盖低龄、高龄和超高龄在内的整个生命跨度的全年龄人口动态死亡率模型,采用对冲弹性量化终身寿险与终身年金、两全保险与定期年金、递延寿险与递延年金三类保障型寿险产品和养老型年金产品对冲效应的动态演变,并通过敏感性分析扩展探讨利率变化对对冲效应的长期影响。研究发现,从单位寿险和年金产品组合的净对冲效应来看,由于保险公司的产品定价区分了性别差异,使得女性的对冲效应更明显,因而女性对应的产品组合中的长寿风险对保险公司的影响更不显著。作为系统性风险,利率风险和长寿风险也存在对冲,利率上升能抵消或对冲长寿风险的影响,低利率下长寿风险更显著。更多还原

【Abstract】 As an important risk in the aging society,longevity risks have become an active topic in both the field of public pension plans and for life insurance companies during the last two decades. There is a potential natural hedging effect between the overestimated pricing of life insurance products and underestimated pricing of annuity products resulted from longevity risk. In order to quantify the long term relative influences of this hedging effect,we used hedging elasticity to quantify the dynamic evolutions of hedging effects of three types of life insurance and pension annuity portfolios,i.e.,whole life insurance and whole life annuity,endowment insurance and term annuity,and deferred life insurance and deferred annuity,by using the proposed dynamic mortality rate models for the entire life spans which cover all ages,with young,old,and advanced old inclusive. Furthermore,we discussed the long term impacts of interest rate changes on the hedging effect through sensitivity analysis. The main conclusions were as follows. From the net hedging effect of unit life insurance and annuity product portfolio,the hedging effect of female insured was more obvious because insurance companies distinguished the gender differences in products pricing,so the impact of longevity risk in female insured’s corresponding product portfolio was less significant on insurance companies. Both interest rate risk and longevity risk were systemic risks,and there was also a hedge to some extent between them. The rise of interest rate could offset or hedge the impact of longevity risk,and longevity risk was more significant under lower interest rates.更多还原