发表机构
The University of Melbourne; Simon Fraser University（墨尔本大学; 西蒙菲莎大学）
机构由 AI 辅助整理，请以论文原文为准。AI 中文总结
本研究构建结合Hermite样条与分布式滞后非线性模型的多人口死亡率框架，基于西班牙15个地区数据预测SSP情景下死亡率，评估发现气候变化增加人寿保险组合的夏季赔付与下行风险，尤其在高排放情景下。
AI 中文摘要
气候变化可能通过改变死亡率的水平和季节性模式，对长期人寿保险负债产生实质性影响。本文开发了一个多人口死亡率框架，该框架将Hermite样条模型与分布式滞后非线性模型相结合，以捕捉年龄、地区和温度特定的死亡率效应。我们将该框架应用于西班牙15个NUTS-2地区的死亡率和温度数据，并在三种共享社会经济路径（SSP）情景下预测未来死亡率。随后，我们通过预期死亡赔付和组合损益，评估了对假设的终身人寿保险组合的影响。结果显示出一个重要的季节性抵消效应：较暖的条件降低了冬季期间的预期赔付，但增加了夏季期间的赔付，且这些效应在更严重的气候情景和较晚年份签发的保单下变得更加显著。在更长的时间范围内，不利的夏季死亡率效应变得越来越重要。组合分析进一步表明，气候相关的死亡率风险可以实质性增加组合结果的离散度和下行风险，特别是在SSP5-8.5情景下。这些发现强调了将温度相关死亡率效应纳入长期人寿保险负债预测和风险评估的重要性。
英文摘要
Climate change may materially affect long-term life insurance liabilities by altering both the level and seasonal pattern of mortality. This article develops a multi-population mortality framework that combines a Hermite spline model with a distributed lag non-linear model to capture age-, region-, and temperature-specific mortality effects. We apply the framework to mortality and temperature data from 15 Spanish NUTS-2 regions and project future mortality under three shared socioeconomic pathway (SSP) scenarios. We then assess the implications for a hypothetical whole life insurance portfolio through expected death-benefit payments and portfolio profit and loss. The results reveal an important seasonal offset: warmer conditions reduce expected payoffs during winter periods but increase them during summer periods, with these effects becoming more pronounced under more severe climate scenarios and for policies issued in later years. Over longer horizons, adverse summer mortality effects become increasingly important. The portfolio analysis further shows that climate-related mortality risk can materially increase the dispersion and downside risk of portfolio outcomes, particularly under SSP5-8.5. These findings highlight the importance of incorporating temperature-related mortality effects into long-term life insurance liability projections and risk assessment.
