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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/49688


    Title: 應用Nelson-Siegel系列模型預測死亡率-以英國為例
    Authors: 宮可倫
    Contributors: 蔡政憲
    宮可倫
    Keywords: 隨機死亡率模型
    Nelson-Siegel利率模型
    死亡率預測
    Stochastic mortality model
    Nelson-Siegel interest rate model
    Mortality forecast
    Date: 2008
    Issue Date: 2010-12-08 16:47:06 (UTC+8)
    Abstract: 
      Existing literature has shown that force of mortality has amazing resemblance of interest rate. It is then tempting to extend existing model of interest rate model context to mortality modeling. We apply the model in Diebold and Li (2006) and other models that belong to family of yield rate model originally proposed by Nelson and Siegel (1987) to forecast (force of) mortality term structure. The fitting performance of extended Nelson-Siegel model is comparable to the benchmark Lee-Carter model. While forecasting performance is no better than Lee-Carter model in younger ages, it is at the same level in elder ages. The forecasting performance increases for 5-year ahead forecast is better than 1-year ahead comparing to Lee-Carter forecast. In the end, the forecast outperforms Lee-Carter model when age dimension is trimmed to age 20-100.
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    Renshaw, A., and S. Haberman, 2003, “Lee-Carter mortality forecasting with age-specific enhancement,” Insurance Mathematics and Economics, 33, 255-272.
    ------, 2006, “A cohort-based extension to the Lee-Carter model for mortality reduction factors,” Insurance Mathematics and Economics, 38, 556-570.
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    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    96358015
    97
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0963580151
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

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