基于Lee-Carter模型的互助养老年金研究
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引用本文:肖鸿民,杨晓丹 ,马志娥.基于Lee-Carter模型的互助养老年金研究[J].经济数学,2018,(3):70-76
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作者单位
肖鸿民,杨晓丹 ,马志娥 (西北师范大学 数学与统计学院,甘肃 兰州 730070) 
中文摘要:基于经典的双线性随机Lee-Carter模型,采用经济学的协整理论,对中国大陆男性人口死亡率进行预测,克服了ARIMA模型预测的局限性.在随机利率和Lee-Carter模型的基础上度量退休年金和生命年金的长寿风险,并为此提出应对策略,引入由消费者承担系统长寿风险、年金池承担个体长寿风险的群体自助养老年金(GSA),然后对其进行实证分析发现,与普通年金相比,GSA模型分担模式拥有较高的给付额.
中文关键词:金融学  群体自助养老年金  协整理论  Lee-carter模型  长寿风险
 
The Study on Group Self-Pooling and Annuitization about Lee-Carter Model
Abstract:The co-integration theory of economics combined with the classical bilinear random Lee-Carter model was used to fit and forecast the male population mortality in Mainland China, and solved the limitations of the ARIMA model. Meanwhile, the two kinds of longevity risk about retirement pension and life annuity were measured, which based on the stochastic interest rate and Lee-Carter model. Then the model of the Group Self-pooling Annuitization (GSA) in which the system longevity risk was borne by consumers, and the individual longevity risk was borne by the annuity pool. The result showed that the model of GSA had a higher payment compare with the ordinary pension.
keywords:finance  Lee-Carter model  co-integration theory  longevity risk  group self-annuitization
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