Ming Zhao, Xiaojun Wang

【Abstract】

This paper summarizes the several important dynamic mortality models, proposes three methods of measuring longevity risk, and measures the two kinds of longevity risk of insurer by using the mortality data from insurance companies and National Bureau of Statistics. The study shows that the results of longevity risk are different in these methods. Based on the prudence principle, insurer should select the stochastic simulati6n method to measure the first kind of longevity risk, and select the standard formula method to measure the second kind of longevity risk. Moreover, the longevity risk is not sensitive to the terminal age, but sensitive to the discount rate. The longevity risk will decrease significantly by increasing the discount rate.

【Keywords】

insurer, longevity risk, mortality rate model, risk measurement method