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題名: 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
作者: 王慧婷
貢獻者: 黃泓智
王慧婷
關鍵詞: 死亡率模型
主成分分析
Lee-Carter模型
日期: 2009
上傳時間: 2010-12-08 01:57:18 (UTC+8)
摘要: 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。

而和台灣死亡率性質相近的國家,主要選入歐洲國家,像是奧地利、法國、愛爾蘭、挪威和西班牙,除了法國和西班牙人口數分別為六千多萬和四千多萬的國家外,其餘三個國家人口數皆不超過一千萬,這說明人口數多寡或許不是輔助小地區建構死亡率模型的唯一重點,應選取適合的國家作為輔助用途。
參考文獻: 英文部分
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中文部分
1. 余清祥(1999)。修勻:統計在保險的應用。台北:雙葉書局。
2. 余清祥、曾奕翔(民94年3月)。Lee-Carter模型分析:台灣地區死亡率推估之研究。楊文山(主持人),二十一世紀的臺灣人口發展:趨勢與挑戰。2005年台灣人口學會學術研討會,國立台灣大學。
3. 陳順宇(2005)。多變量分析。四版。台北:華泰書局。
4. 陳文琴(民97)。死亡率改善模型的探討及保險商品自然避險策略之應用。國立政治大學風險管理與保險系研究所碩士論文。台北市。
描述: 碩士
國立政治大學
風險管理與保險研究所
97358010
98
資料來源: http://thesis.lib.nccu.edu.tw/record/#G0097358010
資料類型: thesis
顯示於類別:[風險管理與保險學系] 學位論文

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