政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/49689
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113873/144892 (79%)
造访人次 : 51919792      在线人数 : 501
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/49689


    题名: 應用Nelson-Siegel系列模型預測死亡率-以日本為例
    作者: 謝牧庭
    贡献者: 蔡政憲
    謝牧庭
    关键词: 死亡率模型
    自我相關模型
    Diebold- Li
    Svensson
    日期: 2008
    上传时间: 2010-12-08 16:49:09 (UTC+8)
    摘要: 由於死亡率曲線與殖利率曲線同樣可用水平(level)、斜率(slope) 、曲度(curvature)來描述，且兩者之參數皆為受到時間因素影響之動態因子，故本研究應用Nelson-Siegel(1987)系列之動態利率期間結構模型，如Diebold and Li (2006)的三因子模型，針對日本1947至2006年死亡率進行配適，再以自我相關模型檢視因子的趨勢變化進而預測；結果發現本研究所使用模型在配適死亡率曲線上效果良好，而高齡人口死亡率預測上較幼年、青少年人口精確，以日本資料而言Svensson四因子模型相較於Lee-Carter模型預測能力佳，但在年輕人口死亡率中則不然。
    The main purpose of this study is tempting to extend existing model in interest model context to mortality modeling. Since the mortality curve has resemblance of interest rate yield curve. Both of them can be describe by level, slope, and curvature terms. Also, the parameters of two curves are the function of time. We apply the Nelson and Siegel family yield rate models such like Diebold and Li (2006) model to fit and forecast the mortality term structure. By using the Japanese mortality data within 1947 to 2006, we find out that the fitting of these models are precise, especially when age dimension being truncated to age 20-103. The forecasting performances comparing with the benchmark Lee-Cater model is better in elder age but worse in younger age.
    參考文獻: Cairns, A.J.G., Blake, D., Dowd, K.(2006). A two-factor model for stochastic mortality with parameter uncertainty: Theory and calibration. Journal of Risk & Insurance.
    Diebold, Francis X. and Canlin Li, 2006, “Forecasting the Term Structure of Government Bond Yields,” Journal of Econometrics, Vol. 130, 337-364.
    Dowd, K., Cairns, A.J.G., Blake, D., Coughlan, G.D., Epstein, D., and Khalaf-
    Allah, M. (2008) Evaluating the Goodness of Fit of Stochastic Mortality Models
    ", Forthcoming, Pensions Institute Discussion Paper PI-0803.
    Dowd, K., Cairns, A.J.G., Blake, D., Coughlan, G.D., Epstein, D., and Khalaf-Allah,
    M.(2008)Backtesting Stochastic Mortality Models: An Ex-Post Evaluation of
    Multi-Period-Ahead Density Forecasts", Forthcoming, Pensions Institute Discussion
    Paper PI-0802.
    Jens H. E. Christensen, Francis X. Diebold, Glenn D. Rudebusch. (2008).An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model
    Lee, R.D., Carter, L. R. (1992). Modeling and forecasting US mortality. Journal of the American Statistical Association 87 (419), p.659-675.
    Lewis (1982). C.D. Lewis Industrial and business forecasting methods, Butterworths, London (1982).
    Nelson, C and A Siegel. Parsimonious modeling of yield curves. Journal of Business,
    Jan 1987.
    Renshaw, A and Haberman,S.(2006). A cohort-based extension to the lee{carter model for mortality reduction factors. Insurance Mathematics and Economics.
    Svensson, Lars E. O. (1995) “Estimating Forward Interest Rates with the Extended Nelson-Siegel Method,” Quarterly Review, No. 3, Sveriges Riksbank, 13-26
    Wong-Fupuy, C. Haberman, S. (2004). Projecting Mortality Trends: Recent Developments in the United Kingdom and the United States
    Willets,R. (2004). The cohort effect: insights and explanations - Actuarial Journal, Vol. 10, No. 4., pp. 833-877
    余清祥、曾奕翔(2005)，Lee-Carter模型分析:台灣地區死亡率推估之研究，2005年台灣人口學會學術研討會論文。
    陳文琴(2008)，｢死亡率改善模型的探討及保險商品自然避險策略之應用｣，政治大學風險管理與保險學系碩士論文
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    96358016
    97
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0963580161
    数据类型: thesis
    显示于类别:[風險管理與保險學系] 學位論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    016101.pdf95KbAdobe PDF2661检视/开启
    016102.pdf356KbAdobe PDF2531检视/开启
    016103.pdf142KbAdobe PDF2642检视/开启
    016104.pdf115KbAdobe PDF2626检视/开启
    016105.pdf252KbAdobe PDF2687检视/开启
    016106.pdf375KbAdobe PDF2945检视/开启
    016107.pdf384KbAdobe PDF2696检视/开启
    016108.pdf1141KbAdobe PDF2663检视/开启
    016109.pdf197KbAdobe PDF2612检视/开启
    016110.pdf120KbAdobe PDF2641检视/开启
    016111.pdf992KbAdobe PDF2646检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈