| 新型唐提式年金定价及其风险分摊效果 |
| The Pricing of New-type Tontine Annuities and their Risk-Sharing Effectiveness |
| 摘要点击 58 全文点击 0 投稿时间：2025-12-10 修订日期：2026-07-13 |
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| 中文关键词 唐提式年金; 长寿风险分摊; 最低保证 |
| 英文关键词 Tontine; Longevity risk allocation; Minimum guarantees |
| 基金项目 |
| 投稿方向 精算数学 |
| 作者 | 单位 | 邮编 | | 胡仕强* | 浙江财经大学金融学院 | 310018 | | 陈飞扬 | 浙江财经大学金融学院 | |
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| 中文摘要 |
| 新型唐提式年金TWMG(tontine with minimum guarantee)是由传统年金RA(regular annuity)和以唐提式年金NT(nature tontine)为标的的看涨期权的组合. 本文基于贝叶斯Markov chain Monte Carlo方法, 在统一的计算架构下, 研究TWMG年金的定价及其长寿风险分摊效应. 研究发现: TWMG年金对风险厌恶程度较高的投保人有着高于NT年金的效用; 在降低发行人的长寿风险压力上, 其预期损失EL和尾风险度量指标都全面优于RA;TWMG年金还能够通过给付结构中期权和保证部分的灵活调整来满足投保人的不同风险偏好. 研究认为TWMG年金对于优化年金市场的微观环境, 促进我国商业年金市场的健康发展都具有积极的意义. |
| 英文摘要 |
| The tontine with minimum guarantee (TWMG) constitutes a hybrid, blending a regular annuity (RA) with a call option underpinned by a natural tontine (NT). Using the Bayesian Markov chain Monte Carlo method, this study explored the pricing of TWMG and its role in allocating longevity risk within a cohesive computational framework. The findings reveal that TWMG delivers utility surpassing that of NT for policyholders with a higher degree of risk aversion. In alleviating the issuer’s longevity risk burden, it outperforms RA comprehensively, as both expected loss and the tail risk metric conditional demonstrate. Moreover, TWMG accommodates diverse risk preferences through flexible adjustments to the option and guarantee elements in its payout structure. The study concludes that TWMG holds positive implications for refining the micro-level dynamics of the annuity market and fostering the healthy development of China’s commercial annuity sector. |
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