Analysis And Application Of Longevity Risk In Group Self-Annuitization Model

With the rapid development of economy and society,people's living condition continue to improve,especially the constant improvement of the level of medical treatment,the obviously decreased mortality rate making the aging population con-tinues to increase,therefore China has accelerated becoming an aging society.How-ever,China's pension system is not perfect,the reform of the pension is not perfect either,because the pension funds are not sufficient which lead to the individual,society and government will face the risk of pension longevity brought about,and as a result,this risk will give the individual family economic pressure as well as resistance to social development.In order to effectively solve the longevity risk of pension,it is important for government to form a multi-level pension system,mortality prediction,long life risk measurement and annuity design.Study on the model of mortality experienced from the static model to the dy-namic mortality model to continuous stochastic mortality model.Speaking of the static model,it only considers the relationship between mortality rate and age,ignore the time factor;dynamic mortality model combined with the time factor,therefore the estimated result is more stable and accurate,particular the typical Lee-Carter model,however,this model causing two factors which will lead to low accuracy in parameter estimation;continuous stochastic mortality model is lack of robustness in terms of the occurrence of emergencies.In summary,the main contents of this paper are:1.Select the random dynamic model of GoMa,using the maximum likelihood estimation method for parameter estimation,using the chi square statistic to test the model,and taking Monte Carlo simulation method to predict the future popu-lation mortality rate;meanwhile based on the retirement pension and Life Annuity Actuarial Model,to predict the stochastic interest rate and stochastic dynamic mod-el of mortality on retirement annuity and life annuity actuarial,therefore to value the present calculation,simulation average premium and predict the longevity risk.2.To discuss the model of group self/textm-Annultization which based on mutual help theory of Group Self/textm-Annuitization,the following part will in-troduce GSA model,meanwhile analysis it under random active mortality/textm-GoMa model and random interest/textm-CIR.model,and finally come up with the number of the amount of pension recipients 5%,50%and 95%.3.To discuss from the insurance point of view,analysis of the optimization design of the GSA model,this essay build on the standard of the proportion of invested money that investor got at the first time.Moreover,provides two schemes to further optimize the GSA annuity,which in a certain period of time will not be inherited after inheriting or reduced the amount of money after getting this pension in a certain time.Obviously,GSA has more advantages than ordinary annuity.This paper provides a basis theory for pension management departments to effectively deal with the longevity risk,in order to acquire the probability of the expected rate of return higher pension and provide pension plan for the participants,provide suggestions and countermeasures for the design and reform of endowment insurance system as well.To promote social development for the diversification of the endowment insurance mode of development,and seek to maximize the benefits of the balance of pension management departments and individuals,hopefully to reduce the national financial pressure,also to meet the challenges of an aging population,eventually,to achieve a win-win situation.