关键词: 长寿风险, 城镇职工养老保险, 双随机Lee-Carter模型, 敏感性分析

Abstract: Health and longevity are the common pursuit and development trends of the human society. But they do have adverse effects on the pension system. Nowadays, the longevity risk has become an important systemic risk which is faced by the global pension system, while it has not attracted sufficient attention in China. With the international financial institutions’ thought about the solvency capital requirements, this paper defines the shock effect of the longevity risk to China's basic pension insurance for urban employees firstly. Then by using the predictive values of the limited data Two-Stochastic Lee-Carter Model and the predictive values of the pension levels for urban employees simultaneously, it evaluates the shock effects of longevity risk to China urban employees' pension insurance for the next 36 years. Finally, it gives the simulations about different reforming policies and the sensitivity analysis. The results show that there are very obvious shock effects of the longevity risk to the China's basic pension insurance for urban employees. And the effects of such shocks are affected by delayed retirement age and pension adjustment index significantly, but relatively limited by other factors like urbanization rate and so on.

Key words: longevity risk, pension insurance for urban employees, two-stochastic Lee-Carter model, sensitivity analysis