政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/75974

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | 全文筆數/總筆數 : 109952/140887 (78%)
造訪人次 : 46346257 線上人數 : 353

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/75974

請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/75974

題名:	Modeling longevity risks using a principal component approach: A comparison with existing stochastic mortality models
作者:	Yang, S.S.;Yue, Jack C.;Huang, Hongchih 余清祥;黃泓智
貢獻者:	風管系
日期:	2010-02
上傳時間:	2015-06-18 17:16:43 (UTC+8)
摘要:	This research proposes a mortality model with an age shift to project future mortality using principal component analysis (PCA). Comparisons of the proposed PCA model with the well-known models-the Lee-Carter model, the age-period-cohort model (Renshaw and Haberman, 2006), and the Cairns, Blake, and Dowd model-employ empirical studies of mortality data from six countries, two each from Asia, Europe, and North America. The mortality data come from the human mortality database and span the period 1970-2005. The proposed PCA model produces smaller prediction errors for almost all illustrated countries in its mean absolute percentage error. To demonstrate longevity risk in annuity pricing, we use the proposed PCA model to project future mortality rates and analyze the underestimated ratio of annuity price for whole life annuity and deferred whole life annuity product respectively. The effect of model risk on annuity pricing is also investigated by comparing the results from the proposed PCA model with those from the LC model. The findings can benefit actuaries in their efforts to deal with longevity risk in pricing and valuation. © 2009 Elsevier B.V. All rights reserved.
關聯:	Insurance: Mathematics and Economic,Volume 46, Issue 1, February 2010, Pages 254-270
資料類型:	article
DOI 連結:	http://dx.doi.org/10.1016/j.insmatheco.2009.09.013
DOI:	10.1016/j.insmatheco.2009.09.013
顯示於類別:	[風險管理與保險學系] 期刊論文

文件中的檔案:

檔案	描述	大小	格式	瀏覽次數
1-s2.0-S0167668709001309-main.pdf		4228Kb	Adobe PDF2	759	檢視/開啟

在政大典藏中所有的資料項目都受到原著作權保護.

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.

資料載入中.....