Research On Natural Hedging Strategies For Longevity Risk In Insurance Companies

As the population mortality of lowering,rising life expectancy and continuously declining birth rate of population,our country gradually face a serious aging problem.According to the report of the academy of social sciences,due to the increasing life expectancy of the population,China's basic pension gap has long existed and has been expanding.In this case,insurance company plays an increasingly important role as an important part of the pension payment system.At the same time due to the insurance company is different from the social insurance paid by the government,financial subsidies,commercial insurance company payer insurance company self-sustaining features,makes the longevity risk impact to the insurance company is more apparent.So insurance companies and pension funds in our country is facing a huge challenge on longevity risk,to explore how to effectively manage the longevity risk has become an increasingly urgent task.This paper mainly studies the optimal proportion of natural hedging strategies in longevity risk management methods.At present,although there many research about the longevity risk,but the related research are mostly about the theory and the model,.There's a little research on the question that the optimal proportion for product portfolio hedging strategy determine the.In addition,due to there many differences on mortality experience data of different countries,the current research on relevant models is mostly confined to the introduction of foreign models.So this article tries to seek the different influence factors under different conditions of longevity risk on the optimal proportion of hedge portfolio of products,and then provide the corresponding decision support to the insurance company in the actual percentage of natural hedging strategy.Firstly,this paper make analyses to the background of longevity risk and the reason of insurance company must pay attention to the longevity risk.It is pointed out that this paper have great significance to the research on longevity risk natural hedging strategy.Secondly,this paper presents a systematic and rational introductioan of relevant theoretical research on longevity risk.In terms of measuring longevity risk,this article introduces the analysis and comparison through the existing mortality model.At the same time this paper introduced into a method named MCMC compared with the traditional two-stage method.In view of the differences between our country and foreign related data samples,the relevant theoretical models abroad cannot be applied directly,and this paper has adopted certain processing methods in the selection and processing of data.In terms of the prediction of future mortality,this paper is different from the current practice of gender discrimination,and the mortality of male and female is predicted respectively.In the aspect of the natural hedge study of longevity risk,the asset return model is first constructed and the future interest rate scenario is generated according to the latest observation statistics.Secondly,this paper constructs a natural hedging strategy model of longevity risk.Finally,using the generated mortality situation,interest rate scenarios and natural hedge model was constructed through application of the model.At the end of this paper,the relevant research findings of the previous article indicate that the optimal model of male and female and population sample data in China is different.However,the choice of model,interest rate and sample data is different,and the effect on the optimal proportion of final product portfolio is obvious.Therefore,the insurance company must pay attention to the choice of the optimal model in the operation process.In the process of product design,for male and female's sample data,makes the corresponding design details,and for the choice of interest rate,want to consider investment factors and the influence of stochastic interest rate factor.In addition,the data in the statistical work in the future,according to the actual ability as far as possible will do detailed statistics and perfection,attaches great importance to the preservation of data,gradually improve the defects of our country's forward data missing.Finally,based on the analysis of current economic and social trends,it is pointed out that natural hedging strategy has a good prospect in China at present.