| dc.contributor.advisor | 蔡政憲 | zh_TW |
| dc.contributor.author (Authors) | 宮可倫 | zh_TW |
| dc.creator (作者) | 宮可倫 | zh_TW |
| dc.date (日期) | 2008 | en_US |
| dc.date.accessioned | 8-Dec-2010 16:47:06 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 16:47:06 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 16:47:06 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0963580151 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49688 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 風險管理與保險研究所 | zh_TW |
| dc.description (描述) | 96358015 | zh_TW |
| dc.description (描述) | 97 | zh_TW |
| dc.description.abstract (摘要) | 無 | zh_TW |
| dc.description.abstract (摘要) | 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. | en_US |
| dc.description.tableofcontents | 1 Introduction 12 Literature Review 32.1 Lee-Carter family model . . . . . . . . . . . . 42.2 Nelson-Siegel family model . . . . . . . . . . . 63 Modeling Mortality 93.1 Notation, Assumption and Data . . . . . . . . . .93.2 Estimation . . . . . . . . . . . . . . . . . . . 103.3 In-sample fitting . . . . . . . . . . . . . . . .113.4 Discussion of Lt; St and Ct . . . . . . . . . . .124 Forecasting Mortality 154.1 Model Selection . . . . . . . . . . . . . . . . .154.2 Out-of-Sample Forecasting . . . . . . . . . . . .165 Conclusion 19 | zh_TW |
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| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0963580151 | en_US |
| dc.subject (關鍵詞) | 隨機死亡率模型 | zh_TW |
| dc.subject (關鍵詞) | Nelson-Siegel利率模型 | zh_TW |
| dc.subject (關鍵詞) | 死亡率預測 | zh_TW |
| dc.subject (關鍵詞) | Stochastic mortality model | en_US |
| dc.subject (關鍵詞) | Nelson-Siegel interest rate model | en_US |
| dc.subject (關鍵詞) | Mortality forecast | en_US |
| dc.title (題名) | 應用Nelson-Siegel系列模型預測死亡率－以英國為例 | zh_TW |
| dc.type (資料類型) | thesis | en |
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| dc.relation.reference (參考文獻) | Cairns, A., D. Blake, and K. Dowd, 2006a, “Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk,” Astin Bulletin, 36(1), 79-120. | zh_TW |
| dc.relation.reference (參考文獻) | ------, 2006b, “A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration,” Journal of Risk & Insurance, 73(4), 687-718. | zh_TW |
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| dc.relation.reference (參考文獻) | Christensen, J., F. Diebold, and G. Rudebusch, in press, “An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model,” The Econometrics Journal. | zh_TW |
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| dc.relation.reference (參考文獻) | Diebold, F., and C. Li, 2006, “Forecasting the term structure of government bond yields,” Journal of Econometrics, 130(2), 337-364. | zh_TW |
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| dc.relation.reference (參考文獻) | Lee, R. D., 2000, “The Lee-Carter method for forecasting mortality, with various extensions and applications,” North American Actuarial Journal, 4, 80-93. | zh_TW |
| dc.relation.reference (參考文獻) | Lee, R. D., and L. R. Carter, 1992, “Modeling and forecasting U. S. mortality,” Journal of the American Statistical Association, 87(419), 659-675. | zh_TW |
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| dc.relation.reference (參考文獻) | Nelson, C., and A. Siegel, 1987, “Parsimonious Modeling of Yield Curves,” Journal of Business, 60(473-489). | zh_TW |
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