具有死亡风险的资产负债的随机建模

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摘要翻译：
本文描述了一个典型的养老金保险公司的资产收益和负债现金流随机建模的一般方法。在资产方面，我们模拟了股票和各类固定收益工具的投资回报，包括短期和长期固定利率债券、指数挂钩债券和公司债券。在负债方面，风险是由未来死亡率发展以及价格和工资通胀驱动的。所有风险因素都被建模为一个多元随机过程，捕捉不同风险因素之间的动态和依赖关系。该模型易于解释和校准，既符合历史数据，也符合预测或专家对未来的看法。该模型结构简单，计算效率高。在个人电脑上，一百万个场景的构建只需几分钟。通过对设定受益养恤基金的资产负债分析说明了这一方法。
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英文标题：
《Stochastic modeling of assets and liabilities with mortality risk》
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作者：
Sergio Alvares Maffra, John Armstrong, Teemu Pennanen
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最新提交年份：
2020
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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英文摘要：
  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.
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PDF链接：
https://arxiv.org/pdf/2005.09974

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关键词：随机建模 资产负债 econometrics Construction computations returns 养恤 liability 因素 mortality