中文摘要：

本文基于随机死亡率预测，并将年金合同定价问题与年金保单组的破产概率相结合，对我国年金业务中蕴含的长寿风险进行了实证研究。一方面，在死亡率预测的基础上，研究了即期年金保单组未来现金流的分布特征，探讨了保单规模和性别对长寿风险的影响；另一方面，在考虑长寿风险条件下，测算了即期年金保单组的未来现金流，讨论了长寿风险对保单组破产概率和破产时间的影响，以及对冲长寿风险时对资产回报率要求。

英文摘要：

Based on random mortality prediction, this paper empirically studied the longevity risk in annuity portfolio by combining annuity pricing and ruin probability together. On the one hand, on the basis of predicted mortality, it studied the distribution characteristics of the future cash flows of immediate annuity portfolio, and discussed the impact of policy scale and gender on longevity risk in annuity portfolio;on the other hand, with the consideration of longevity risk, it estimated the future cash flows of the immediate annuity portfolio, and discussed the impact of lon- gevity risk on the ruin probability and ruin time of annuity portfolio, as well as the return on assets requirements for hedging against longevity risk.