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    題名: Modeling Longevity Risks using a Principal Component Approach: A Comparison with Existing Stochastic Mortality Models/Insurance: Mathematics and Economics
    作者: Yang, Sharon S.;Yue, Jack C.;Huang,Hong-Chih
    楊曉文;余清祥;黃泓智
    貢獻者: 風管系
    關鍵詞: Longevity risk;Age-period-cohort model;Lee-Carter models;Principal component analysis
    日期: 2010-06
    上傳時間: 2014-02-27 17:05:40 (UTC+8)
    摘要: This research proposes a mortality model with an age shift to project future mortality using principal component analysis (PCA). Comparisons of the proposed PCA model with the well-known models—the Lee–Carter model, the age–period–cohort model (Renshaw and Haberman, 2006), and the Cairns, Blake, and Dowd model—employ empirical studies of mortality data from six countries, two each from Asia, Europe, and North America. The mortality data come from the human mortality database and span the period 1970–2005. The proposed PCA model produces smaller prediction errors for almost all illustrated countries in its mean absolute percentage error. To demonstrate longevity risk in annuity pricing, we use the proposed PCA model to project future mortality rates and analyze the underestimated ratio of annuity price for whole life annuity and deferred whole life annuity product respectively. The effect of model risk on annuity pricing is also investigated by comparing the results from the proposed PCA model with those from the LC model. The findings can benefit actuaries in their efforts to deal with longevity risk in pricing and valuation.
    關聯: Insurance: Mathematics and Economics, 46(1), 254-270
    資料來源: http://dx.doi.org/10.1016/j.insmatheco.2009.09.013
    資料類型: article
    DOI 連結: http://dx.doi.org/10.1016/j.insmatheco.2009.09.013
    DOI: 10.1016/j.insmatheco.2009.09.013
    顯示於類別:[風險管理與保險學系] 期刊論文

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