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Title: 以多個國家輔助單一國家建構死亡率模型—主成分分析之應用
Construct mortality model for a country with deficient data by multi-countries data —application of principal component analysis
Authors: 王慧婷
Contributors: 黃泓智
Keywords: 死亡率模型
Date: 2009
Issue Date: 2010-12-08 01:57:18 (UTC+8)
Abstract: 對於人口數不多的國家及地區,因為樣本數較少,死亡率的震盪較大,導致死亡率的估計值較不穩定。為解決此種問題,本研究以其他國家的死亡率資料輔助台灣,建構死亡率模型。首先,以群集分析方式選擇適合輔助台灣的國家,也就是死亡率性質相近之國家,本研究建議以死亡改善率做為主要的考量;其次,以主成分分析的方式分解多個國家死亡率,以負荷做為多個國家的共有係數,分數則是隨著資料和時間改變的變數,在研究結果中,5~6個成分個數即會有不錯的配適和預測效果,以五齡組死亡率配適模型為例,成分個數為6時,男性配適Lee-Carter模型全部國家的平均MAPE為5.40%,主成分分析則為4.13%,下降幅度將近24%,而Lee-Carter模型預測的整體MAPE為14.72%,主成分分析為12.22%,下降幅度約17%,因此主成分分析模型確實有明顯改善Lee-Carter模型。

Reference: 英文部分
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Data Type: thesis
Appears in Collections:[風險管理與保險學系 ] 學位論文

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