基于DEJD模型的人口寿命预测及SM债券定价

人口老龄化背景下的长寿风险,将会给国家养老保障体系带来极大的经济负担.如何度量和管理长寿风险,已成为近年来世界各国关注和研究的焦点.本文基于我国人口死亡率数据,在Lee-Carter模型的基础上,引入DEJD模型刻画时间序列因子的跳跃不对称性,并证实了DEJD模型比Lee-Carter模型在拟合时间序列因子时更为有效.此外,本文利用DEJD模型预测出我国人口死亡率数据,进而给出了SM债券在我国的市场价格,为SM债券在我国的推广提供了重要参考.

Population Life Prediction and SM Bonds Pricing Based on DEJD Model

In the context of the aging population,longevity risk will increase great economic pressure to the national endowment security system.How to measure and manage longevity risk has become the focus of research in recent years.Based on the Chinese population mortality data,and Lee-Carter model,we introduce DEJD model(double exponential jump diffusion model)to describe the jump asymmetry of time series factors,and prove that DEJD model is more effective than Lee-Carter model in fitting time series factors.In addition,we use the population mortality data predicted by DEJD model to price the SM bonds in Chinese market,providing an important reference for the promotion of SM bond in China.