中文摘要：

在寿险保单贴现的过程中，保单持有者将保单出售给第三方机构。本文中，我们首先对寿险保单贴现市场进行一般性的介绍，同时论述这一市场在中国存在的必要性。在Lee-Carter模型的基础上，通过双指数跳跃扩散模型整合了长寿风险和死亡率跳跃，很好地拟合了中国的死亡率数据。讨论了在拥有新的医疗信息（比如对投保人剩余预期寿命的估计）的情况下对寿险保单产品的定价。为了整合这些医疗信息，我们使用了统计学中的信息理论，对事先选定的死亡率表格进行调整，在整合了所有的医疗信息的前提下，尽可能地接近原始表格。利用调整后的死亡率表格，对寿险保单进行了现金流折现定价。我们选用了几种不同的死亡率数据，最终发现，传统的确定性定价方法会低估保单的价值，因而概率性定价的方法更具优越性。

英文摘要：

A life settlement is a financial transaction in which the owner of a life insurance policy sells his or her policy to a third party. In this paper we firstly presented an overview of the life settlement market, then we justified its necessity in China. Based on the Lee-Carter model, we introduced the DEJD （Double Exponential Jump Diffusion） model to incorporate longevity risk and jump in mortality rate, which fitted well with mortality data in China. We discussed on pricing where insurers had medical information regarding the expected life expectancy of the insured. To incorporate medical information, we applied the statistical information theory to adjust a pre-specified mortality table under the condition that the adjusted table was as close to the original table as possible. The cashflow discounted prices using the adjusted table showed that the traditional deterministic pricing method systematically underestimated the value of the policy,thus the probabilistic pricing method was superior.