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Date of Publication:2009-01-01

Journal:系统工程

Affiliation of Author(s):经济管理学院

Volume:27

Issue:11

Page Number:56-61

ISSN No.:1001-4098

Abstract:Considering the aging trend of Chinese population and the
   characteristics of interest rates market,this paper models the death
   intensity by Feller process with jumps,describes the term structure of
   interest rate with Cox-Ingersoll-Ross(CIR)model.Based on these,the model
   of pension annuity is designed.Then,future mortality can be forecasted
   by sensitivity test and rationally setting of parameters in the death
   intensity model with the data of China's life tables.This paper further
   discusses how survival probabilities improve the influence on the
   present value of pension.The results show that longevity risk may
   increase the costs of products greatly under the condition that other
   financial risk hedged effectively.The longevity risk poses a threat to
   the~lvency of life insurance.All of the above imply that life insurance
   should pay more attention to the design of pension annuities and the
   strategy to hedge the longevity risk.

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