Temporal and spatial correlations in mortality dynamics: Applications to mortality/longevity risk management

死亡率动态的时间和空间相关性：在死亡/长寿风险管理中的应用

• 批准号: RGPIN-2021-02409
• 负责人: Li, JohnnySiuHang
• 金额: $ 2.26万
• 依托单位: University of Waterloo
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2021
• 资助国家: 加拿大
• 起止时间: 2021-01-01 至 2022-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=741959
• 关键词: Temporal; spatial; correlations; mortality; dynamics

The stochastic nature of mortality dynamics has long been recognized. It affects the financial industry in two dimensions. On one hand, providers of pensions and annuities are subject to longevity risk, as an unexpected increase in life expectancy would lengthen the duration over which pension/annuity payments are made. According to the International Monetary Fund, global longevity risk exposure estimates range from 15 to 25 trillion USD. On the other hand, life insurers are exposed to risks arising from catastrophic mortality events, which would lead to excess mortality and consequently higher life insurance payouts. Research has found that a moderate influenza pandemic similar to the 1957 and 1968 outbreaks could cost US life insurers 15 billion USD in additional claims. The impact of the COVID-19 pandemic on life insurance payouts is yet to be estimated, but it is likely to be very significant given its scale and global presence. The long-term goal of the proposed research is to develop a better understanding of mortality and longevity risks, with a focus on the interdependency among the mortality dynamics of large collections of populations, and the financial implications of such an interdependency. This research stands out from the abundant existing works on this broad theme in its focus on the global connections among mortality/longevity exposures. It is also unique in its attention to recent mortality trends and events, including the decline in life expectancy observed in some developed countries since the mid-2010s. Specifically, the objectives of the proposed research are threefold: The first objective is to study spatial correlations of mortality improvement rates with advanced high-dimensional data analytic techniques. By exploiting spatial correlations, I will identify diversification opportunities and develop hedging strategies that are likely to outperform existing ones. The second objective is to develop a model that captures catastrophic mortality events in multiple regions simultaneously. The model will not only aid pricing reinsurance and mortality catastrophe bonds, but also improve risk management solutions for insurers with multi-country mortality risk exposures. The third objective is to develop a method to capture waves of mortality improvement using advanced temporal correlation models. Using the resulting model, I will develop regime-dependent hedging strategies, which would allow more efficient mitigation of longevity risk. The market for longevity risk transfers is growing rapidly in Canada. In 2019 alone, four multi-billion dollar deals were closed by Canadian reinsurers. Canada's financial industry now needs the knowledge on advanced stochastic mortality modelling and risk management methods, which students will acquire in the proposed research. Canada's position in the market will also be strengthened by the research outcomes, as they are being adopted by practitioners in pension and reinsurance sectors.

长期以来，死亡率动力学的随机性质已得到认可。它在两个维度上影响金融业。一方面，养老金和年金的提供者会遭受寿命风险，因为预期寿命的意外增加将延长养老金/年金支付的持续时间。根据国际货币基金的数据，全球寿命风险暴露估计范围为15到25万亿美元。另一方面，人寿保险公司面临灾难性死亡事件引起的风险，这将导致过量死亡率，从而导致更高的人寿保险支出。研究发现，与1957年和1968年的爆发相似的中等流感大流行可能使美国人寿保险公司损失150亿美元的其他索赔。尚待估计Covid-19-19大流行对人寿保险支出的影响，但鉴于其规模和全球存在，这可能非常重要。拟议研究的长期目标是更好地了解死亡率和寿命风险，重点是大量人群的死亡率动态之间的相互依存，以及这种相互依存的财务影响。这项研究脱离了有关这一广泛主题的大量现有作品，其重点是死亡/寿命暴露之间的全球联系。它的注意力在最近的死亡率趋势和事件上也是独一无二的，包括自2010年代中期以来在某些发达国家观察到的预期寿命下降。具体而言，拟议的研究的目标是三重：第一个目标是通过先进的高维数据分析技术研究死亡率改善率的空间相关性。通过利用空间相关性，我将确定多样化的机会并制定可能超过现有的策略。第二个目标是开发一个模型，该模型同时捕获多个地区的灾难性死亡事件。该模型不仅将有助于定价再保险和死亡率灾难性债券，而且还可以改善多国死亡率风险暴露的保险公司的风险管理解决方案。 第三个目标是开发一种使用高级时间相关模型来捕获死亡率改善波的方法。使用结果模型，我将制定依赖于政权的对冲策略，这将允许更有效地缓解寿命风险。在加拿大，寿命风险转移市场的增长迅速。仅在2019年，加拿大再保险公司就完成了4亿美元的交易。现在，加拿大的金融行业需要有关高级随机死亡率建模和风险管理方法的知识，学生将在拟议的研究中获得这些知识。研究成果也将加强加拿大在市场上的地位，因为养老金和再保险部门的从业人员正在采用它们。