基于风险立方方法的长寿风险债券定价研究

• 作 者: 田玲 姜世杰 樊毅
• 机 构: 武汉大学经济与管理学院,中南林业科技大学经济学院,
• 出 处: 保险研究
• 发表日期: 2017年07期
• 关键词: 债券发行 APC模型 风险立方方法 风险溢价 风险证券化 定价研究 定价法 巨灾债券 资本市场 瑞士再保险公司

面对世界范围内长寿风险越来越严峻的趋势,长寿风险管理成为全世界面临的共同难题。近年来死亡率风险证券化引起人们的广泛关注,长寿债券作为死亡率风险证券化中最常用的一种方法,可以有效地将长寿风险转移至资本市场。本文通过对国外经典死亡率债券的比较,在离散型死亡率模型假设条件下,设计一支可调整上触碰点的触发型长寿债券,运用带永久跳跃的APC模型和风险立方方法对长寿债券进行定价。实证结果显示风险溢价的结果比较稳定,设置不同的初始上触碰点,风险溢价差异较大。

In the face of the increasingly serious risk of longevity worldwide, longevity risk management has become a common problem facing the world. In recent years, the risk securitization of mortality has aroused widespread concern. Longevity bonds, as the most commonly used method of risk securitization, can effectively transfer the longevity risk to the capital market. Based on the comparison of the classic mortality bonds abroad, this paper designs a triggerable long-lived bond with adjustable upper touch point under the assumption of discrete mortality model. By using the APC model with perpetual jump and the risk cube method, Make a price. The empirical results show that the result of the risk premium is relatively stable. Setting different initial touch points, the risk premium varies greatly.