Risk Management Of Insurance Companies Under The Mortality Risk

In terms of insurance companies, mortality risk is a key factor which has significant influence in its risk situation. As fast development in insurance business, the problems that insurance companies face, like huge compensation in management of risk has been gradual obvious. The management of risk has been in urgent condition based on the situations of few researches in domestic data of mortality rate and limit of measurement in dealing with risks.This thesis mainly focuses on searching risk situations of insurance companies in different kinds of morality rates. Normally, morality risk contains unsystematic risk, systematic risk and adverse selection. Because of the data for researching adverse selection is not available, the thesis has to only make a research in systematic risk and unsystematic risk.First, the thesis makes forecast mortality rates in all risks thought Lee-Carter model, which is based on the data of males' mortality rate from 1994 to 2013 in China. Then in condition that an insurer only holds a portfolio of 20-year-duration term life insurance and annuities, the analysis of insurance companies in assets and liabilities is modeled. With Monte Carlo simulation in high and low risk assets, it can reach the optimal portfolio in different kinds of mortality risk after bringing the predicted data.Focusing on the risk management for insurance companies, first, based on the simulation of insurance companies' risk measurement index data, we study the natural hedging strategy and obtain the corresponding numerical results. What's more, we research the changes of insurance companies' risk under MCB hedging. The results show that MCB has positive influence in measurement of insurance companies' mortality risk, especially for longevity risk.