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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 140.119/74023

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题名:	Age-specific copula-AR-GARCH mortality models
作者:	Lin, T.;Wang, Chouwen;Tsai, C.C.L. 王昭文
贡献者:	風管系
关键词:	Stochastic mortality model;AR-GARCH;Copula;Mortality dependence;Lee–Carter model
日期:	2015-03
上传时间:	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.
關聯:	Insurance: Mathematics and Economics,61,110-124
数据类型:	article
DOI 連結:	http://dx.doi.org/10.1016/j.insmatheco.2014.12.007
DOI:	10.1016/j.insmatheco.2014.12.007
显示于类别:	[風險管理與保險學系] 期刊論文

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