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政大典藏 > College of Commerce > Department of Risk Management and Insurance > Periodical Articles > Item 140.119/74023

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/74023

Title:	Age-specific copula-AR-GARCH mortality models
Authors:	Lin, T.;Wang, Chouwen;Tsai, C.C.L. 王昭文
Contributors:	風管系
Keywords:	Stochastic mortality model;AR-GARCH;Copula;Mortality dependence;Lee–Carter model
Date:	2015-03
Issue Date:	2015-03-25 10:14:17 (UTC+8)
Abstract:	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.
Relation:	Insurance: Mathematics and Economics,61,110-124
Data Type:	article
DOI link:	http://dx.doi.org/10.1016/j.insmatheco.2014.12.007
DOI:	10.1016/j.insmatheco.2014.12.007
Appears in Collections:	[Department of Risk Management and Insurance] Periodical Articles

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