2022 Fiscal Year Final Research Report
Risk management of pension fund by longevity derivatives
| Project/Area Number |
19K04912
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Review Section |
Basic Section 25010:Social systems engineering-related
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| Research Institution | Hosei University |
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Principal Investigator |
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| Project Period (FY) |
2019-04-01 – 2023-03-31
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| Keywords | 年金基金のリスク管理 / 年金と金融危機 / リスクヘッジ / 長寿リスク / 長寿再保険 / 長寿スワップ債 / カタストロフ債券 / コロナ禍の財政赤字 |
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| Outline of Final Research Achievements |
The longevity risk of pension funds could be controllable by Longevity derivatives such as Longevity swap and Collateral reinsurance. The research shows the effectiveness of longevity derivatives is achieved by the combination of longevity swap and reinsurance.
The risk of annuity has been affected by COVID-19 since March 2020. It has expanded the deficit of government further and accumulated government bonds, which has owned more than half by bank of Japan. Digitalization of finance has accelerated to change of financial system from central banking system. The deterioration of annuity system under digitalized banking system is studied in the last section of research.
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| Free Research Field |
金融工学
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| Academic Significance and Societal Importance of the Research Achievements |
人口の長寿化の進展によって予想される年金基金のリスクに対して、金融派生証券理論の応用による長寿スワップ契約や長寿再保険によって緩和できるシステムを提案した。さらに、コロナ禍による生存率の変動リスクとそこから、派生する金融システムの脆弱性は、中央銀行を中心として金融システム全体に影響を与える。その影響を評価するストレス・テストのモデル構築のための基礎理論を考察し、金融システムの混乱に対する対策を検討する基礎を提供した。
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