应对长寿风险的分红年金:随机精算建模与应用

我国的商业养老保险作为养老金体系的重要组成部分,在实践中的发展比较缓慢,原因之一是保险公司缺乏长寿风险管理的经验。本文将探索我国商业养老保险使用分红年金管理长寿风险的可行性。研究该分红年金在给付规则和分红来源方面的特征,并基于实际数据,构建动态随机死亡率模型和随机收益率模型,采用蒙特卡洛随机模拟方法,比较分红年金和传统年金在待遇分布、资产和损失分布、破产概率等方面的特征,得出分红年金能够在精算公平原则下有效应对长寿风险,并且在待遇给付、偿付能力和盈利能力方面具有明显优势的结论。

Participating Life Annuities Incorporating Longevity Risk: Stochastic Actuarial Modeling and Application

Commercial annuities,as an important part of the pension systems,have developed slowly in Chinese insurance market.One important reason is that insurance companies lack effective approaches to manage longevity risk.This article explores the feasibility of applying participating life annuities (PLAs) on longevity risk management.We study PLAs' surplus determination mechanics and surplus allocation rule,and develop a stochastic mortality model and a stochastic yield model based on Chinese historical data.By running Monte Carlo simulations,we compare several characteristics of PLAs and traditional annuities,such as benefit payments,insurer's asset and loss distribution,ruin probability.The results show that PLAs can deal with longevity risk effectively under actuarial fairness principle,and have distinct advantages over traditional annuities on benefit payments,solvency and profitability.