论文标题
具有死亡风险的资产和负债的随机建模
Stochastic modeling of assets and liabilities with mortality risk
论文作者
论文摘要
本文介绍了一种对典型养老金保险公司回报和责任现金流的随机建模的一般方法。在资产方面，我们对股票和各种固定收益工具的投资回报进行了建模，包括短期和长期固定利率债券以及指数连接和公司债券。在责任方面，风险是由未来的死亡率发展以及价格和工资通货膨胀驱动的。所有风险因素均被建模为一个多元随机过程，该过程捕获了不同风险因素的动态和依赖性。该模型易于解释，并可以校准历史数据，并预测或专家有关未来的看法。模型的简单结构允许有效地计算。一百万个场景的构建仅需几分钟的个人计算机即可。通过对定义的福利养老基金进行资产责任分析来说明该方法。
This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment returns on equities and various classes of fixed-income instruments including short- and long-maturity fixed-rate bonds as well as index-linked and corporate bonds. On the liability side, the risks are driven by future mortality developments as well as price and wage inflation. All the risk factors are modeled as a multivariate stochastic process that captures the dynamics and the dependencies across different risk factors. The model is easy to interpret and to calibrate to both historical data and to forecasts or expert views concerning the future. The simple structure of the model allows for efficient computations. The construction of a million scenarios takes only a few minutes on a personal computer. The approach is illustrated with an asset-liability analysis of a defined benefit pension fund.
