中文摘要：

长寿风险近年来对各国保险业、养老金体系、社会保障体系造成大规模影响，成为保险和风险管理学术界关注和研究的重点。采用国际前沿的研究方法，系统深入地采用中国数据研究这一问题。在Lee—Carter模型的基础上，通过双指数跳跃扩散模型对Lee—Carter模型中的时间序列因子进行拟合，较好地刻画了中国人口死亡率的长寿跳跃和死亡跳跃；引用SwissRe死亡债券度量长寿风险的市场价格，预估未来中国人口死亡率，并得出了寿险衍生品Q型远期的中国定价。

英文摘要：

Longevity risk has significant impact on insurance industry, pension system and social security system in developing and developed countries, therefore it has become the focus of study by both the academic society for in- surance and risk management. This paper conducted a comprehensive research to this question on the basis of rele- vant data from China. It adopted the Lee-Carter framework and introduced a double exponential jump diffusion mod- el to fit the time-series index with mortality data from year 1982 to 2009. This model captured both asymmetric rate jumps up and down and also cohort effect in mortality trends. Then the paper used Swiss Re Mortality Catastrophe Bond to measure the market price of longevity risk and provided a channel to forecast future Chinese mortality rates. At the end, the paper applied the model to obtain the pricing of q-forward, a forefront longevity security.