《保险研究》20190204-《基于死亡率免疫理论的自然对冲有效性评估》（胡仕强）

［摘   要］为应对长寿风险对年金产品的影响,本文提出分段对冲策略,并以死亡率免疫和死亡率久期规则为理论基础探讨该策略的有效性问题。为避免传统久期匹配方法中参数估计误差的累积和传导,借助WinBUGS软件和贝叶斯Markov Chain Monte Carlo方法,在统一的计算框架下完成了死亡率预测、死亡率久期计算和对冲效果的数值模拟；并以4种分段组合准备金数据的三维图、方差缩减比(VRR)和VaR值为指标进行长寿风险对冲有效性的对比,结果表明低年龄寿险保单和高年龄年金保单组合具有最平滑的三维图,最小的VRR和VaR值,可明显提高长寿风险自然对冲的有效性。

［关键词］长寿风险；死亡率免疫；分段对冲；贝叶斯MCMC方法

［作者简介］胡仕强,博士,浙江财经大学金融学院副教授,研究方向:保险精算。

The Effectiveness of Natural Hedging Using Mortality Immunization Theory

HU Shi-qiang

Abstract：To respond to the longevity risk of annuities caused by larger-than-expected mortality improvement,this article assessed the effectiveness of segmented hedging strategy using the theory of mortality immunization and mortality duration as the theoretical basis.In order to avoid the accumulation and transformation of parameter errors,we completed the mortality projection,mortality duration calculation and numerical simulation in the uniform framework of Bayes MCMC method using WinBUGS software.The three-dimensional diagram,variance reduction ratio and VaR of the four segmented combination reserve funds were computed and compared ,and the results showed that the combination of low age life policy and older age annuity insurance policy turned out to have the smoothest three-dimensional diagram,the smallest VRR and VaR,and therefore could significantly raise the longevity risk hedging effectiveness.

Key words：longevity risk;mortality immunization;segmented hedging;Bayes MCMC method