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政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/64775

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題名:	A Quantitative Comparison of the Lee-Carter Model under Different Types of Non-Gaussian Innovations
作者:	王昭文;黃泓智;劉議謙 Wang, Chou-Wen;Huang, Hong-Chih;Liu, I-Chien
貢獻者:	風管系
關鍵詞:	stochastic mortality model;non-Gaussian distributions;mortality jumps
日期:	2011.01
上傳時間:	2014-03-20 17:49:00 (UTC+8)
摘要:	In the classical Lee-Carter model, the mortality indices that are assumed to be a random walk model with drift are normally distributed. However, for the long-term mortality data, the error terms of the Lee-Carter model and the mortality indices have tails thicker than those of a normal distribution and appear to be skewed. This study therefore adopts five non-Gaussian distributions—Student’s t-distribution and its skew extension (i.e., generalised hyperbolic skew Student’s t-distribution), one finite-activity Lévy model (jump diffusion distribution), and two infinite-activity or pure jump models (variance gamma and normal inverse Gaussian)—to model the error terms of the Lee-Carter model. With mortality data from six countries over the period 1900–2007, both in-sample model selection criteria (e.g., Bayesian information criterion, Kolmogorov–Smirnov test, Anderson–Darling test, Cramér–von-Mises test) and out-of-sample projection errors indicate a preference for modelling the Lee-Carter model with non-Gaussian innovations.
關聯:	The Geneva Papers on Risk and Insurance - Issues and Practice, 36(4), 675-696
資料類型:	article
DOI 連結:	http://dx.doi.org/10.1057/gpp.2011.20
DOI:	10.1057/gpp.2011.20
顯示於類別:	[風險管理與保險學系] 期刊論文

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