随着人的寿命不断延长，长寿风险正逐步凸显。在我国人口老龄化日趋严重的情况下，如何管理长寿风险变得非常重要。长寿风险建模是长寿风险管理的基础和前提，这方面国际上已经有一定的研究，但还有很多统计问题值得进一步探讨。课题将对Lin 和 Cox（2012）提出的状态转换死亡率模型做统计分析，研究状态转换的个数及参数的估计问题。此外，我们国家对死亡率建模的研究刚刚起步，还停留在用已有模型拟合中国数据的阶段。课题将通过分析长寿风险建模的现状，建立适合我国人口数据的死亡率模型，并用所建模型分析养老基金缺口等社会问题。长寿衍生品是管理长寿风险的一种重要工具，定价是衍生品设计的核心。课题将深化和完善长寿衍生品的定价模型和定价方法。

Rising life expectancy is highlighting the longevity risk and it is becoming more urgent to improve our longevity risk control capability in China where the population is inevitably ageing. Internationally, a lot of research efforts have been put on longevity risk modeling - the basis and premise of longevity risk management, but there are still some statistical issues yet to be solved. We will carry on statistical analysis on the regime mortality model proposed by Lin and Cox (2012), focusing on the number of the regimes and the model parameters. Moreover, we will build a mortality rate model based on China's population mortality data to analyze the pension shortage and other relevant concerns in the country. Since the longevity derivatives are a good tool for longevity risk control and the pricing is the core of derivatives design, we will also focus on the improvement of pricing models and methods for longevity derivatives.