Research On Longevity Swap Based On Weighted Dynamic Mortality Model

The exposure of longevity risks is becoming more and more serious with the deepening of social aging,and the use of longevity risk securitization can optimize the resources of the entire capital market,thereby realizing a reasonable hedging of longevity risks.Based on the internationally adopted risk securitization pricing method,this paper improves the core element of quantifying longevity risk,namely the prediction method of population mortality,and uses the optimal weighting method to weight the four classic mortality models.On the basis of the mortality prediction results,the Sharpe ratio pricing method is used to price the risk premium in the process of longevity swap transactions.The conclusion shows that using the optimal weighting method to weight the mortality model can improve the prediction accuracy of the model on the basis of the classic mortality model.Using the vanilla longevity swap model,it clarified the possibility of longevity risks in the future,and determined that longevity risks would affect the development of life insurance institutions.Using the Sharpe ratio pricing method to price the longevity risk premium for men of different ages,the results show that for life insurance companies,the pressure on longevity risks faced by men aged 60-72 is greater than that of men aged 72-89,so they can be appropriately increased the form of premium reduces future losses due to the uncertainty of longevity risks.