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长寿风险已成为养老保障发展所面临的重要风险,而作为养老保障产品供给者的政府、年金和寿险公司等机构难以持续、有效地管理长寿风险。本文在分析长寿风险发展态势和现有管理方案的缺陷后,研究了最近的长寿风险管理工具创新及其发展动向,即死亡率巨灾债券、EIB/BNP长寿债券和远期等,并在此基础上分析了基于资本市场的长寿/死亡率风险相关衍生品设计与交易,包括长寿债券、死亡率互换、死亡率期货和死亡率期权,最后是长寿/死亡率衍生品交易市场建设的启示。
Longevity risk has become an important risk facing the development of old-age security, while the government, annuity and life insurance companies as providers of old-age security products can not sustain and effectively manage longevity risks. After analyzing the development trend of longevity risk and the existing management plan, this paper studies the recent innovations in longevity risk management tools and their development trend, namely, catastrophe catastrophe bonds, EIB / BNP longevity bonds and forwards Based on the analysis of capital market-based longevity / mortality risk-related derivatives design and trading, including longevity bonds, mortality swap, mortality futures and mortality options, and finally the longevity / mortality derivatives market inspiration. .