Dynamic Mortality Modeling And Natural Hedge Of Longevity Risk

With the rapid development of China's economic level,the people's demand for food has also changed from just seeking food and clothing at the beginning to now focusing on health.During this transformation,the significant reduction in the mortality rate and the significant increase in the life expectancy of the population in China,coupled with the change in the concept of fertility in modern people,have led to the typical inverted pyramid shape of China's population structure,which means that China's future elderly population The number will increase sharply,which is a severe test for the ability of China's pension to pay.Therefore,longevity risk has become a huge challenge for China's insurance companies and pension institutions.It is becoming more and more important to explore how to effectively manage longevity risk.In terms of mortality modeling,although there are many related studies at home and abroad,most of the research focuses on improving existing models or improving model solving methods.Only a small number of scholars specialize in the mortality of the elderly population.Research.On the basis of the latest mortality data in China,this article considers that the improvement of mortality in the elderly population stage far exceeds that of the younger population,so the analysis starts with the death characteristics of the elderly population.Based on the prediction of future mortality as accurately as possible,the theoretical exploration is made of the proportion of insurance types that insurance companies should adopt in the context of population aging.First,this article reviews and introduces the current literature on longevity risk,and then proposes the modeling ideas of this article,that is,to use the extreme value method to combine the CK model to expand the mortality rate of the elderly population,and then use the Lee-Cater model Predict future mortality.Finally,the prediction results of the model in this paper are compared with other mainstream mortality models,and it is found that the model has greater advantages than other models in terms of overall prediction effect and robustness.Finally,in terms of the measurement of longevity risk,this paper makes quantitative comparisons of the future longevity risks faced by insurance companies' life insurance products and annuity products in a fixed interest rate and random interest rate environment.It is found that under the background of population aging,life insurance products are more likely to make insurance companies profitable and annuity products are more likely to make insurance companies lose money.In terms of hedging of longevity risks,this article uses CVaR to quantify longevity risks within the framework of Markowitz's investment theory.Theoretical exploration of insurance companies' allocation ratios under fixed and random interest rates.It is found that with the increase of confidence,the proportion of life insurance products in product allocation will increase,and the proportion of annuity products will decrease.Under the environment of random interest rates,this trend will become more apparent.Therefore,in the insurance practice,the environment faced is more complex and changeable,so operators should take a more cautious attitude towards longevity risks.