Mortality and Longevity : a Risk Management Perspective ∗
Mortality and Longevity : a Risk Management Perspective ∗
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死亡率和寿命：风险管理视角*
DOI：
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发表时间：
2007
期刊：
影响因子：
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通讯作者：
E. Pitacco
中科院分区：
文献类型：
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作者：
E. Pitacco
在某种程度上，在人寿保险计算中，传统的确定死亡率的方法是合理的，因为在随机虚构风险方面，大型投资组合提供了优势。然而，应认识到其他死亡风险因素的存在。特别是，由于未来死亡率水平和趋势的不确定性而产生的风险可能会严重影响投资组合的结果。在处理长期保险产品时应特别注意，例如人寿年金。企业风险管理可以在处理死亡和长寿风险时提供合理的指导方针。不同的步骤构成了风险管理过程，从风险识别和风险评估到投资组合战略，如产品设计、适当定价、自然对冲、风险转移和资本分配。
Advantages provided by large portfolio sizes in respect of random uctuations risk justify, to some extent, the traditional deterministic approach to mortality in life insurance calculations. However, the presence of other mortality risk components should be recognized. In particular, risks due to uncertainty in level as well as in trend of future mortality may heavily a ect portfolio results. Special attention should be placed when addressing long-term insurance products, for example life annuities. Enterprise Risk Management can provide sound guidelines when dealing with mortality and longevity risks. Various steps constitute the risk management process, ranging from risk identi cation and risk assessment to portfolio strategies, such as product design, appropriate pricing, natural hedging, risk transfers and capital allocation.