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长寿债券的运行机制与定价模型

2014-06-28谢世清

财经理论与实践 2014年2期

谢世清

摘 要:通过分析长寿债券的市场发展以及连续型和触发型两类长寿债券的运行机制,采用风险中性定价方法推导出当死亡率服从双指数跳跃(DEJD)分布时,长寿债券的定价解析式,研究发现,无论从理论还是实践看,设计并发行触发型长寿债券是一种应对长寿风险更为明智的选择。

关键词: 寿险证券化;长寿风险;长寿债券;定价模型

中图分类号:F832 文献标识码: A 文章编号:1003-7217(2014)02-0035-05

一、引言

近年来,随着我国老龄化问题的加剧,保险公司和社保机构所面临的长寿风险越来越突出,未来养老年金的支付压力愈加沉重,长寿养老问题已成为我国一个重大的社会问题。为减缓压力,延迟退休等政策已经被多次提及,但市场化的解决方案在国内并没有得到足够的重视。针对长寿风险,国外著名保险公司已提出了寿险产品的套期保值、再保险以及长寿风险证券化等应对方案。

其中,长寿债券是国际上新兴的有效管理长寿风险的金融工具,是指其息票或面值与生存概率相关联的债券。通过长寿债券,养老基金和保险公司可以将长寿风险转移给其它金融机构或更为广泛的投资者,达到分散长寿风险的目的。实际上,由于套期保值面临寿险产品缺失,而再保险面临高成本等问题,作为应对长寿风险的创新性解决方案,长寿债券在国际保险市场上受到越来越多的关注。

目前,国外对长寿债券的研究主要集中在两个方面

图1 EIB长寿债券的运行机制

五、结 语

由于长寿债券市场的不完全性以及长寿风险的特殊性,长寿债券的定价模型不同于一般传统的固定收益证券的定价方法。目前运用较为广泛的是概率分布扭曲定价法和风险中性定价方法,但两种定价方式都存在一定的局限性。可以预期,长寿债券的合理定价问题仍是今后研究所关注的重点之一。

长寿债券是长寿风险证券化的重要产物,也是应对长寿风险不可或缺的管理工具。但是由于死亡率预测、定价方法、市场参与者等原因,长寿债券并未得到应有的重视与发展。目前国际保险市场上出现过的长寿债券仅为EIB长寿债券和Kortis长寿债券,而前者发行失败,后者则发行成功。Kortis长寿债券正确的定价固然是其发行成功的重要原因之一,但其设计才是关键性的成功因素。

未来长寿债券的发行者不仅要重视对债券的有效定价,同时也应当强调其设计的合理性。就目前情况看来,连续型长寿债券不能将长寿风险在资本市场上有效分散,不利于吸引投资者积极参与。因此,无论从理论还是实践看,设计并发行触发型长寿债券是一种未来应对长寿风险的更为明智的选择。希望本文对长寿债券的探讨能够引起学术界对长寿债券的关注,并尝试用它来应对我国日益严峻的长寿风险。

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(责任编辑:宁晓青)

The Operational Mechanisms and Pricing Models of Longevity Bonds

XIE Shiqing

. (School of Economics Peking University, Beijing 100871, China).

Abstract:By analyzing the market development of longevity bonds and two different operational mechanisms of continuous and triggered longevity bonds, and deducing a pricing formula of longevity bonds with DEJD mortality model using riskneutral pricing method, this paper finds that the triggered longevity bonds seem to be a more reasonable option than continuous longevity bonds to deal with longevity risk both from the theoretical and practical perspectives.

Key words:Life Insurance Securitization; Longevity Risk; Longevity Bonds; Pricing Model

[10]Milevsky, M.A.and S.D.Promislow.Mortality derivatives and the option to annuitize[J]. Insurance: Mathematics and Economics,2001,(29):299.318.

[11]Cairns, A.J.G., D.Blake, P. Dawson, and K.Dowd.Pricing the risk on longevity bonds[J]. Life and Pensions, October,2005,(10):41-44.

[12]Deng, Y., P. L Brockett, and R. D. MacMinn.Longevity/mortality risk modeling and securities pricing[J]. Journal of Risk and Insurance,2012,79(3):697-721.

(责任编辑:宁晓青)

The Operational Mechanisms and Pricing Models of Longevity Bonds

XIE Shiqing

. (School of Economics Peking University, Beijing 100871, China).

Abstract:By analyzing the market development of longevity bonds and two different operational mechanisms of continuous and triggered longevity bonds, and deducing a pricing formula of longevity bonds with DEJD mortality model using riskneutral pricing method, this paper finds that the triggered longevity bonds seem to be a more reasonable option than continuous longevity bonds to deal with longevity risk both from the theoretical and practical perspectives.

Key words:Life Insurance Securitization; Longevity Risk; Longevity Bonds; Pricing Model

[10]Milevsky, M.A.and S.D.Promislow.Mortality derivatives and the option to annuitize[J]. Insurance: Mathematics and Economics,2001,(29):299.318.

[11]Cairns, A.J.G., D.Blake, P. Dawson, and K.Dowd.Pricing the risk on longevity bonds[J]. Life and Pensions, October,2005,(10):41-44.

[12]Deng, Y., P. L Brockett, and R. D. MacMinn.Longevity/mortality risk modeling and securities pricing[J]. Journal of Risk and Insurance,2012,79(3):697-721.

(责任编辑:宁晓青)

The Operational Mechanisms and Pricing Models of Longevity Bonds

XIE Shiqing

. (School of Economics Peking University, Beijing 100871, China).

Abstract:By analyzing the market development of longevity bonds and two different operational mechanisms of continuous and triggered longevity bonds, and deducing a pricing formula of longevity bonds with DEJD mortality model using riskneutral pricing method, this paper finds that the triggered longevity bonds seem to be a more reasonable option than continuous longevity bonds to deal with longevity risk both from the theoretical and practical perspectives.

Key words:Life Insurance Securitization; Longevity Risk; Longevity Bonds; Pricing Model