基地研究员胡祥教授的论文“Longevity risk, health state transitions, and the demand for insurance”在重要学术期刊International Review of Financial Analysis发表。

摘要：This study analyzes the relationship between longevity risk and health state transitions within the framework of a lifecycle model. We explore optimal insurance allocation, encompassing both annuities and long-term care insurance (LTCI) under different morbidity scenarios to meet urban and rural residents' old-age security needs. Using data from the China Health and Retirement Longitudinal Study (CHARLS), we calculate residents' health state transition probabilities and calibrate them based on mortality rates projected using the Lee–Carter model. The study finds that: First, for residents with low initial endowments, the demand for annuities and LTCI is entirely suppressed by minimum living standard. Second, under the interaction between longevity risk and health state transitions, residents in the morbidity expansion scenario have a higher willingness to purchase annuities and LTCI insurance to hedge against longevity and health risks. For urban residents, the demand for annuities and LTCI increases significantly even at lower initial wealth levels, whereas a significant increase in insurance demand is only observed at higher initial endowments for rural residents. Third, under the optimal decision, simultaneously purchasing annuities and LTCI raises residents' consumption levels and facilitates a more reasonable distribution of wealth across different age groups. The results reveal how households facing combined longevity and health risks can optimize financial asset allocation through insurance instruments, providing important references for insurers in product design.

关键词：Health state transitions; Longevity risk; Morbidity rate; Demand for insurance

论文链接：https://doi.org/10.1016/j.irfa.2025.104711

教师简介

胡祥，经济学博士，教授，博士生导师，中国准精算师。主要研究方向为保险经济学、精算与风险管理。担任中国现场统计研究会精算与风险管理常务理事、中国“双法”研究会量化金融与保险常务理事、中国灾害保险与风险减量分会理事。在保险精算与风险管理领域国际期刊ASTIN Bulletin，Insurance: Mathematics and Economics，North American Actuarial Journal，Scandinavian Actuarial Journal以及《统计研究》《系统工程理论与实践》等国内核心期刊发表论文30余篇，主持并参与10余项国家自科基金、国家社科基金以及国家医保局、中国保险学会等研究课题。