基于价格调整的长寿风险自然对冲策略

doi:10.16381/j.cnki.issn1003-207x.2015.12.002

中国管理科学 ›› 2015, Vol. 23 ›› Issue (12): 11-19.doi: 10.16381/j.cnki.issn1003-207x.2015.12.002

基于价格调整的长寿风险自然对冲策略

曾燕¹, 曾庆邹¹, 康志林²

1. 中山大学岭南(大学)学院, 广东广州 510275;
2. 华侨大学数学科学学院, 福建泉州 362021

收稿日期:2014-09-12 修回日期:2015-07-19 出版日期:2015-12-20 发布日期:2015-12-31
作者简介:曾燕(1984-),男(汉族),江西吉安人,中山大学岭南(大学)学院副教授,理学博士,应用经济学博士后,研究方向:金融工程、风险管理、保险精算.
基金资助:
国家自然科学基金资助项目(71201173,71571195);教育部人文社会科学重点研究基地基金资助项目(11JJD790004);教育部人文社会科学研究青年基金资助项目(12YJCZH267);广东省自然科学基金杰出青年项目(2015A030306040);广东省人文社会科学青年基金资助项目(GD11YYJ07)

Natural Hedging Strategy for Longevity Risk Based on Price Adjustment

ZENG Yan¹, ZENG Qing-zou¹, KANG Zhi-lin²

1. Lingnan(University) College, Sun Yat-sen University, Guangzhou 510275, China;
2. School of Mathematical Science, Huaqiao University, Quanzhou 362021, China

Received:2014-09-12 Revised:2015-07-19 Online:2015-12-20 Published:2015-12-31

摘要/Abstract

摘要： 在长寿风险对冲框架下,通过引入外生的产品价格,构建了基于价格调整的自然对冲模型。首先运用最优化理论得到了模型最优产品配比的解析式,然后在实际的销售配比与模型的最优配比相等的约束下,推导出了寿险产品和年金产品的最优定价。该定价能够使得模型的最优配比真正被实现,即销售的配比刚好是使产品组合长寿风险最小化的最优配比。最后通过数值算例,阐述了基于价格调整的自然对冲策略的效果,并进一步分析了利率、承保年龄、性别等因素对自然对冲策略的影响。

关键词: 长寿风险, 自然对冲, 产品定价, 产品配比

Abstract: In the framework of longevity risk hedging, a price-adjusted longevity risk natural hedging model is established by introducing the exogenous product prices. Firstly, the analytical solution of the optimal product mix of the model is derived by adopting the optimization theory. Then, optimal prices for life insurance products and annuities are obtained under the constraint that the actual product mix equals to the optimal product mix of the model. Under the optimal prices, the optimal product mix of the model is truly realized, that is, the actual product mix is exactly the optimal product mix which minimizes the longevity risk. Finally, the effectiveness of the natural hedging strategy based on the effect of price adjustment is illustrated by using numerical examples. Furthermore, the impact of the interest rates, age and gender on the natural hedging strategy is also examined.

Key words: longevity risk, natural hedging, product pricing, product mix

中图分类号:

F840.32

曾燕, 曾庆邹, 康志林. 基于价格调整的长寿风险自然对冲策略[J]. 中国管理科学, 2015, 23(12): 11-19.

ZENG Yan, ZENG Qing-zou, KANG Zhi-lin. Natural Hedging Strategy for Longevity Risk Based on Price Adjustment[J]. Chinese Journal of Management Science, 2015, 23(12): 11-19.

参考文献

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[5] Tsai J T, Wang J L, Tzeng L Y. On the optimal product mix in life insurance companies using conditional value at risk[J]. Insurance:Mathematics and Economics, 2010, 46(1):235-241.

[6] 黄顺林,王晓军. 基于VaR方法的长寿风险自然对冲模型[J]. 统计与信息论坛, 2011,(2):48-51.

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基于价格调整的长寿风险自然对冲策略

Natural Hedging Strategy for Longevity Risk Based on Price Adjustment

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