Research On Longevity Swapping Pricing Based On The Prediction Of Mortality Of The Aged

With the economic development,the improvement of people’s living standards and the improvement of medical and health conditions,the mortality rate of the elderly over 65 years of age in our country has been declining,and life expectancy has been continuously extended.The longevity risk caused by this need to be urgently resolved.For insurance companies,an increase in the life expectancy of the policyholder means an extension of the annuity payment period and an exponential increase in the amount of payment.Facing increasing payment pressure and the inadequacy of existing longevity risk management methods,financial entities,mainly insurance companies,have begun to explore innovative ways to deal with longevity risks.However,longevity risk securitization has advantages that traditional management methods cannot match,so it is of great theoretical significance to conduct research on longevity risk securitization.Longgevity swaps have a unique advantage of low cost and high flexibility over other products in longevity risk securitization.Therefore,this article takes longevity swaps as the research object,and performs longevity swaps through Wang transformation and Monte Carlo method.Research on pricing for long-term swap products for a specific period.This research not only provides a reference for the implementation and development of longevity swaps in China,but also provides another feasible method for insurance companies to resolve longevity risks,which has certain practical significance.The article first introduced the related concepts and operating mechanisms of longevity swaps.Secondly,the severe longevity risks facing China and the lack of existing management methods illustrate the necessity of developing longevity swaps.The feasibility is illustrated from the advantages of swaps,foreign development experience,and China’s development advantages.Next,the traditional Lee-Carter model was used to predict the mortality rate of the elderly,and the Coale-Kisker model was used to improve the predicted mortality rate,thereby completing the most critical part of pricing.On this basis,the Wang transform method is used to price the long-lived swap products,and the sensitivity analysis of related parameters is performed.Finally,from the micro level to the macro level,we put forward suggestions for the implementation and development of longevity swap in China.From a micro perspective,it covers three important contents,including perfecting swap pricing technology,diversifying product types,and preventing transaction risks,and it has certain operability.From a macro perspective,it is proposed to further improve the capital market,improve the credit rating system,establish corresponding laws and regulations,improve subsidies and tax preferential policies,etc.,and encourage the participation and passage of more financial entities by building a good external environment.Development methods to accelerate the promotion and implementation of longevity swaps.