论文标题
Volterra死亡率模型：远程依赖的精算估值和风险管理
Volterra mortality model: Actuarial valuation and risk management with long-range dependence
论文作者
论文摘要
尽管丰富的实证研究支持了死亡率的长期依赖（LRD），但由于缺乏适当的可拖动模型来进行估值和风险管理目的，对死亡率证券的相应影响在很大程度上是未知的。我们提出了一种新型的Volterra死亡率模型，该模型将LRD纳入精算价值，保持障碍性，并与现有的连续时间仿射死亡率模型一致。我们通过考虑历史健康记录来得出封闭式解决方案中的生存概率。模型的灵活性和障碍使它们在评估与死亡率相关的产品（例如死亡福利，年金，寿命债券等）以及许多其他产品以及提供最佳的均值差异死亡率对冲规则方面有用。进行了数值研究，以检查将LRD纳入死亡率对各种保险产品和对冲效率的影响。
While abundant empirical studies support the long-range dependence (LRD) of mortality rates, the corresponding impact on mortality securities are largely unknown due to the lack of appropriate tractable models for valuation and risk management purposes. We propose a novel class of Volterra mortality models that incorporate LRD into the actuarial valuation, retain tractability, and are consistent with the existing continuous-time affine mortality models. We derive the survival probability in closed-form solution by taking into account of the historical health records. The flexibility and tractability of the models make them useful in valuing mortality-related products such as death benefits, annuities, longevity bonds, and many others, as well as offering optimal mean-variance mortality hedging rules. Numerical studies are conducted to examine the effect of incorporating LRD into mortality rates on various insurance products and hedging efficiency.
