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    題名: 應用Nelson-Siegel系列模型預測死亡率－以英國為例
    作者: 宮可倫
    貢獻者: 蔡政憲
    宮可倫
    關鍵詞: 隨機死亡率模型
    Nelson-Siegel利率模型
    死亡率預測
    Stochastic mortality model
    Nelson-Siegel interest rate model
    Mortality forecast
    日期: 2008
    上傳時間: 2010-12-08 16:47:06 (UTC+8)
    摘要: 無
    　　Existing literature has shown that force of mortality has amazing resemblance of interest rate. It is then tempting to extend existing model of interest rate model context to mortality modeling. We apply the model in Diebold and Li (2006) and other models that belong to family of yield rate model originally proposed by Nelson and Siegel (1987) to forecast (force of) mortality term structure. The fitting performance of extended Nelson-Siegel model is comparable to the benchmark Lee-Carter model. While forecasting performance is no better than Lee-Carter model in younger ages, it is at the same level in elder ages. The forecasting performance increases for 5-year ahead forecast is better than 1-year ahead comparing to Lee-Carter forecast. In the end, the forecast outperforms Lee-Carter model when age dimension is trimmed to age 20-100.
    參考文獻: Bolder, D., and D. Str_eliski, 1999, “Yield Curve Modelling at the Bank of Canada,” Technical Report No. 84.
    Cairns, A., D. Blake, and K. Dowd, 2006a, “Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk,” Astin Bulletin, 36(1), 79-120.
    ------, 2006b, “A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration,” Journal of Risk & Insurance, 73(4), 687-718.
    ------, 2008, “Modelling and Management of Mortality Risk: A Review,” North American Actuarial Journal, 13(1), 1-35.
    Christensen, J., F. Diebold, and G. Rudebusch, in press, “An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model,” The Econometrics Journal.
    De Pooter, M., 2007, “Examining the Nelson-Siegel Class of Term Structure Models,” tinbergen.nl Working Paper.
    Diebold, F., and C. Li, 2006, “Forecasting the term structure of government bond yields,” Journal of Econometrics, 130(2), 337-364.
    Duffie, D., and R. Kan, 1996, “A yield-factor model of interest rates,” Mathematical Finance, 6(4), 379-406.
    Girosi, F., and G. King, 2007, “Understanding the Lee-Carter Mortality Forecasting Method,” Working Paper.
    Hari, N., A. D. Waegenaere, B. Melenberg, and T. Nijman, 2008, “Estimating the term structure of mortality,” Insurance Mathematics and Economics, 42, 492-504.
    Heligman, L., and J. H. Pollard, 1980, “The Age Pattern of Mortality,” Journal of the Institute of Actuaries, 107, 49-80.
    Koopman, S. J., M. Mallee, and M. V. der Wel, Forthcoming, “Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model with Time-Varying Parameters,” Journal of Business and Economic Statistic.
    Lee, R. D., 2000, “The Lee-Carter method for forecasting mortality, with various extensions and applications,” North American Actuarial Journal, 4, 80-93.
    Lee, R. D., and L. R. Carter, 1992, “Modeling and forecasting U. S. mortality,” Journal of the American Statistical Association, 87(419), 659-675.
    Lee, R. D., and T. Miller, 2001, “Evaluating the performance of the Lee-Carter method for forecasting mortality,” Demography, 38(4), 537-549.
    McNown, R., and A. Rogers, 1989, “Forecasting Mortality: A Parameterized Time Series Approach,” Demography, 26(4), 645-660.
    Nelson, C., and A. Siegel, 1987, “Parsimonious Modeling of Yield Curves,” Journal of Business, 60(473-489).
    Renshaw, A., and S. Haberman, 2003, “Lee-Carter mortality forecasting with age-specific enhancement,” Insurance Mathematics and Economics, 33, 255-272.
    ------, 2006, “A cohort-based extension to the Lee-Carter model for mortality reduction factors,” Insurance Mathematics and Economics, 38, 556-570.
    Schrager, D., 2006, “Affine stochastic mortality,” Insurance Mathematics and Economics, 38, 81-97.
    Svensson, L. E. O., 1994, “Estimating and Interpreting Forward Interest Rate: Sweden 1992 - 1994,” Working Paper 4871, National Bureau of Economic Research.
    Thiele, T. N., 1872, “On a mathematical formula to express the rate of mortality throughout the whole of life,” Journal of the Institute of Actuaries, 16, 313-329.
    Wong-Fupuy, C., and S. Haberman, 2004, “Projecting Mortality Trends: Recent Developments in the United Kingdom and the United States,” North American Acturial Journal, 8(2), 56-83.
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    96358015
    97
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0963580151
    資料類型: thesis
    顯示於類別:[風險管理與保險學系] 學位論文

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