Response To Research Design Based On The Lee-Carter Model Of Longevity Bonds And Longevity Risk

In order to deal with the problem of longevity risk in the coming universal method to deal with longevity risk reinsurance method, the use of financial derivatives spread longevity risk securitization of longevity risk hedging. In this paper, combined with the Lee-Carter method improved model to predict mortality applied to the design of longevity bonds to deal with the longevity risk.Rational use of the Lee-Carter method improved forecast Chinese male and female mortality, and consider the model residuals.1994-2009male and female mortality data collection based on the data obtained is processed by logarithm, the basic characteristics of the identification data, and then on the basis of the existing models, according to the assumptions, the data were extrapolated ultimately fitting the1994-2009population mortality, and the next11years the population mortality cautious forecast reasonable mortality predicted values. Predicted results, and to borrow this method reasonable and prudent forecast of the life of the male and female newborns, and the results are compared with official data, and then get a life underestimate the conclusion, and put forward the proposal to modify the pension insurance system. Moreover, the use of the above mortality prediction Conclusion, applied to the longevity bonds designs and build the pricing models for longevity bonds, which combine empirical analysis of life table data. This model combines the characteristics of the Chinese population, and consider two aspects of the structure of interest rates in the incomplete market conditions, to build a long-term bond pricing model expression has more obvious advantages.