关键词: 长寿风险, 超高龄, 极值建模方法, 非线性分层模型, 尾部风险

Abstract: Longevity risk calculation is central to both public pension plans and life insurance companies. The essential work in quantifying longevity risk is to model the dynamics of mortality rates. Based on the goodness-of-fit with respect to the available mortality rates at various ages, the dynamic mortality rate models mainly deal with two issues, namely, age extrapolation and trend prediction. In addressing the gaps in the literature, this paper integrates the extreme modeling method for oldest-old mortality rate and the hierarchical modeling technique, and proposes a dynamic mortality rate modeling approach. The paper further demonstrates the dynamic evolutions of old-age and oldest-old mortality rates by place of residence and gender from 2000 to 2010 in China, with better measurement of the tail risks of the life span distribution, and thus improves the quantitative method on China's longevity risk research.

Keywords: Longevity Risk, Oldest-old, Extreme Modeling Method, Non-linear Hierarchical Models, Tail Risks