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題名: | A Quantitative Comparison of the Lee-Carter Model under Different Types of Non-Gaussian Innovations | 作者: | 王昭文;黃泓智;劉議謙 Wang, Chou-Wen ; Huang, Hong-Chih ; Liu, I-Chien |
貢獻者: | 風管系 | 關鍵詞: | stochastic mortality model; non-Gaussian distributions; mortality jumps | 日期: | 2011 | 上傳時間: | 20-三月-2014 | 摘要: | In the classical Lee-Carter model, the mortality indices that are assumed to be a random walk model with drift are normally distributed. However, for the long-term mortality data, the error terms of the Lee-Carter model and the mortality indices have tails thicker than those of a normal distribution and appear to be skewed. This study therefore adopts five non-Gaussian distributions—Student’s t-distribution and its skew extension (i.e., generalised hyperbolic skew Student’s t-distribution), one finite-activity Lévy model (jump diffusion distribution), and two infinite-activity or pure jump models (variance gamma and normal inverse Gaussian)—to model the error terms of the Lee-Carter model. With mortality data from six countries over the period 1900–2007, both in-sample model selection criteria (e.g., Bayesian information criterion, Kolmogorov–Smirnov test, Anderson–Darling test, Cramér–von-Mises test) and out-of-sample projection errors indicate a preference for modelling the Lee-Carter model with non-Gaussian innovations. | 關聯: | The Geneva Papers on Risk and Insurance - Issues and Practice, 36(4), 675-696 | 資料類型: | article | DOI: | http://dx.doi.org/10.1057/gpp.2011.20 |
Appears in Collections: | 期刊論文 |
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