English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 77866/107600 (72%)
造訪人次 : 20065136      線上人數 : 462
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    請使用永久網址來引用或連結此文件: http://nccur.lib.nccu.edu.tw/handle/140.119/74023

    題名: Age-specific copula-AR-GARCH mortality models
    作者: Lin, T.;Wang, Chouwen;Tsai, C.C.L.
    關鍵詞: Stochastic mortality model;AR-GARCH;Copula;Mortality dependence;Lee–Carter model
    日期: 2015-03
    上傳時間: 2015-03-25 10:14:17 (UTC+8)
    摘要: In this paper, we propose AR-GARCH (autoregression-generalized autoregressive conditional heteroskedasticity) models to fit and forecast mortality rates for a given age by two alternative approaches. Specifically, one approach is to fit a time series of mortality rates for some age to an AR(n)-GARCH(1, 1) model, and project the mortality rate for that age in the next nth year; the other is to fit an AR(1)-GARCH(1, 1) model, and project the mortality rates recursively for the age in the next consecutive years. Further, we employ the copula method to capture the inter-age mortality dependence. Adopting mortality data of Japan, the UK, and the USA, we demonstrate that it is indispensable to consider the conditional heteroskedasticity in our mortality models which provide better performances in out-of-sample projection and prediction intervals with a higher degree of coverage than the Lee–Carter model. Finally, we numerically illustrate with mortality data of Japan that VaR (Value at Risk) values for longevity risk, regarded as additional reserves for annuity or pension providers, will be overestimated if the conditional heteroskedasticity or/and the inter-age mortality dependence structure are ignored.
    資料類型: article
    DOI: http://dx.doi.org/10.1016/j.insmatheco.2014.12.007
    顯示於類別:[風險管理與保險學系 ] 期刊論文


    檔案 描述 大小格式瀏覽次數
    j.insmatheco.2014.12.007.pdf1284KbAdobe PDF760檢視/開啟


    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋