Stochastic analysis in life office management: applications to large annuity portfolios

The paper deals with the riskiness analysis for a large portfolio of life annuities. By means of the limiting distribution of the present value of the portfolio, in the first part of the paper a model for evaluating the investment and the projection risks is presented. In the second part, with regard to the investment risk's effects, the insolvency risk is measured considering the cumulative probability distribution function of the discounted average cost per policy. Copyright © 2003 John Wiley & Sons, Ltd.     

大獭蛤低温保活技术的初步研究

在确定大獭蛤(Lutmria maxima jonas)生态冰温的基础上,研究降温方法、暂养时间、温湿度控制、氧气供应等条件对大獭蛤低温保活的影响.实验结果表明,大獭蛤的结冰点为-1.9℃,生态冰温为5.0～-1.9℃;在3.0～5.0℃温度条件下保活效果最好,保活3d后存活率为90%;维持一定的湿度和供氧是大獭蛤低温保活的重要前提条件.     

中国的百岁老人研究Ⅲ.百岁老人聚居区——中国长寿之乡的成因和评定

探讨了中国长寿之乡的成因,提出了评定中国长寿之乡的四项指标和六项衡量标准。主张中国长寿之乡应由有资质的学术团体经过认真调查和核实后认定,被命名的长寿之乡应是相当于县(市)或大城市区一级以上的地域,总人口应在10万人以上;该地区每百万人口中应有70位以上百岁老人;并应有反映后备力量和发展速度的指标。     

从大致均等到精确均等--谈人类性别的"配偶供需量均等原则"

目前关于人类性别在数量上大致均等的一般解释难以自圆其说。作者依据从进化论思想推导出的配偶供需量均等原则,不仅很好地解释了这一“大致均等”的现象,而且揭示了更深剌的“精确均等”内涵。它告诉人们：男性比女性在数量上稍多一点的根本原因,是因为男性的平均寿命比女性稍短一点。文章不仅定性而且定量地对此现点进行了说明。     

川渝地区百岁老人地理分布及其长寿区的形成原因

百岁老人比率及其地理分布是判断长寿区的重要指标，长江上游川渝地区百岁老人呈空间集聚型分布，成都平原自古以来为长寿老人集中区；其百岁老人比率总体上由西向东递减而呈梯度型分布，其中川西北高原和成都平原百岁老人比率最高，为我国长寿区之一。     

A step-by-step guide to building two-population stochastic mortality models

Two-population stochastic mortality models play a crucial role in the securitization of longevity risk. In particular, they allow us to quantify the population basis risk when longevity hedges are built from broad-based mortality indexes. In this paper, we propose and illustrate a systematic process for constructing a two-population mortality model for a pair of populations. The process encompasses four steps, namely (1) determining the conditions for biological reasonableness, (2) identifying an appropriate base model specification, (3) choosing a suitable time-series process and correlation structure for projecting period and/or cohort effects into the future, and (4) model evaluation.For each of the seven single-population models from Cairns et al. (2009), we propose two-population generalizations. We derive criteria required to avoid long-term divergence problems and the likelihood functions for estimating the models. We also explain how the parameter estimates are found, and how the models are systematically simplified to optimize the fit based on the Bayes Information Criterion. Throughout the paper, the results and methodology are illustrated using real data from two pairs of populations.     

Multi-population mortality models: A factor copula approach

Modeling mortality co-movements for multiple populations have significant implications for mortality/longevity risk management. A few two-population mortality models have been proposed to date. They are typically based on the assumption that the forecasted mortality experiences of two or more related populations converge in the long run. This assumption might be justified by the long-term mortality co-integration and thus be applicable to longevity risk modeling. However, it seems too strong to model the short-term mortality dependence. In this paper, we propose a two-stage procedure based on the time series analysis and a factor copula approach to model mortality dependence for multiple populations. In the first stage, we filter the mortality dynamics of each population using an ARMA–GARCH process with heavy-tailed innovations. In the second stage, we model the residual risk using a one-factor copula model that is widely applicable to high dimension data and very flexible in terms of model specification. We then illustrate how to use our mortality model and the maximum entropy approach for mortality risk pricing and hedging. Our model generates par spreads that are very close to the actual spreads of the Vita III mortality bond. We also propose a longevity trend bond and demonstrate how to use this bond to hedge residual longevity risk of an insurer with both annuity and life books of business.     

线虫存活率指标对水样相对毒性的初步分析

初步建立了一个用秀丽隐杆线虫(Caenorhabditis elegans)的存活率评价饮用水源水和水厂工艺水水样相对毒性的方法.比较了经水样处理后线虫12,24和48 h的存活率,确立24 h是线虫对水质变化反应最灵敏的处理时间;比较了同一份新鲜和一次冻融水样对所处理线虫存活率的影响,发现二者之间存在显著的相关性,相关公式为y=0.371 6 lnx 0.895 8(其中x为鲜水中的线虫存活率,y为冻水中的线虫存活率),相关系数R=0.98,但线虫在新鲜水样中较之在一次冻融水样中对水质变化的反应更为灵敏.     

A dynamic equivalence principle for systematic longevity risk management

This paper addresses systematic longevity risk in long-term insurance business. We analyze the consequences of working under unknown survival probabilities on the efficiency of the Law of Large Numbers and point out the need for appropriate and feasible risk management techniques. We propose a setting for risk sharing schemes between the insurer and policyholders via a dynamic equivalence principle. We focus on a pure endowment contract and derive conditions for a viable risk sharing scheme which enhances the solvency situation of the insurer while being more favorably priced for the policyholders.     

中国人口死亡率建模比较及长寿风险度量

以我国颁布的3套保险行业经验生命表为基础，结合1995-2017年国家统计局发布的《中国统计年鉴》中的死亡率数据，首先分析了中国全年龄人口数据死亡率动静态变动特点，其次比较了LC，CBD和APC 3种模型对中国死亡率数据的拟合优劣，最后采用最优APC模型度量了不同生命表下的长寿风险.死亡率的动态变化会导致以经验生命表为依据的年金产品定价出现偏差，增加养老金管理机构的承保风险.