死亡率免疫理论及其在长寿风险对冲中的应用

摘要

With the mortality immunization theory this article studies the issue of natural hedging strategy against longevi-ty risks facing life insurance companies.It is discovered that age, gender and insurance period are several important factors in-fluencing mortality duration and mortality convexity of an insurance policy.And in order to get complete hedging against lon-gevity risks in a company, the minimum ρ ratio between life policies and annuity policies must equal the ratio between annuity duration and life duration.These results suggest that insurers can hedge longevity risk by adjusting the ratio between life poli-cies and annuity policies.%基于死亡率免疫理论探讨保险公司长寿风险的自然对冲问题，研究年龄、性别与保险期限等因素与保单久期和凸性之间的关系，发现保险公司欲达到长寿风险的完全对冲，其寿险业务和年金业务必须达到的最小ρ比例应该等于年金和寿险保单的久期之比，表明保险公司可以通过选择调整寿险和年金业务的比例来对冲长寿风险的影响。