Abstract: Abstract: Extending the interest rate immunization theory, this article employs the mortality immunization theory to study the natural hedging strategy of longevity risks facing life insurance companies. Firstly, we give the definition of mortality duration and mortality convexity, their computation methods ,and then explore several factors influencing policy’s duration and convexity. On the basis of the above knowledge, we give the minimum ρ ratio between life policies and annuity policies in order to get the perfect hedging, besides ,we studied the nature of this ratio.

摘要： 【摘要】：本文拓展了利率免疫理论，利用死亡率免疫利率来研究保险公司所面临长寿风险的对冲问题。文章首先给出了死亡率久期和凸性的定义和计算方法，并探讨了影响保单久期和凸性的几种重要因素。在此基础上给出了保险公司欲达到长寿风险的完美对冲，其寿险业务和年金业务必须达到的最小ρ比例，并给出了该比例的相关变化性质。