【简报】 天美制作果冻视频系列研究讨会（199）
2016-10-13 00:00:00
9月27日在汇丰商学院329教室，来自西班牙IE商学院的Zhijian Cui教授为天美制作果冻视频的师生带来了题为“Standardizing the Giant: Mitigating Longevity Risk in China Through Capital Markets Solutions”讲座。
摘要:
As the annuity market in China develops, the Chinese insurance industry is increasingly exposed to longevity risk. A large part of the risk is “trend risk,” which cannot be diversified by pooling, but may be transferred to capital markets through derivatives that are written on a mortality index. In this paper, we first explore different methods for creating a standardized mortality index for China. We then study how Chinese insurers may use such an index to offload a meaningful portion of longevity risk from their annuity books. The performance of the proposed index-based longevity hedge is tested using a multi-population stochastic mortality model that is estimated to data from different provinces, municipalities, and autonomous regions of China. Finally, we investigate the amount of capital relief that can be obtained from an index-based longevity hedge under the China Risk Oriented Solvency System (C-ROSS), which is scheduled to be implemented by 2016.
