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Title | 台灣人口死亡率模型之探討: Reduction Factor模型的實證研究 |
Creator | 許鳴遠 |
Contributor | 黃泓智 許鳴遠 |
Key Words | 延壽風險 死亡率模型 Reduction Factor |
Date | 2005 |
Date Issued | 2009-09-18 |
Summary | 隨著醫療的普及與生活品質的改善,人類的死亡率持續的下降。壽命的延長是人們夢寐以求的理想,但是隨著壽命延長,人類隨之要面臨許多衍生而來的問題,諸如退休規劃、醫療照顧等問題。面臨延壽風險的問題,現行最急迫的課題莫過於探討人口死亡率預測模型。對於死亡率預測的模型,國外已有相當多的研究,近年來也看到國內有許多學者紛紛投入死亡率的研究,由於目前英國實務上所使用Reduction Factor模型,在國內尚無相關的研究,故本文以Reduction Factor模型為基礎,並透過與Lee-Carter模型的比較與各國死亡率資料的驗證,進一步加以改善並建構出適用於台灣地區死亡率預測的模型,以作為往後用來衡量延壽風險的依據。 |
參考文獻 | 英文部分 Blaschke, E., 1923. Sulle tavole di mortalita" variabili col tempo. Giornale di Matematica, Finanziaria 5, pp.1-31 Chang, S.C., 1998. Using Parametric Statistical Models to Estimate Mortality Structure: The Case of Taiwan, Journal of Actuarial Practice, pp. 197-219. Continuous Mortality Investigation Report No.10(1990), Institute of Actuaries and Faculty of Actuaries. Continuous Mortality Investigation Report No.17(1999), Institute of Actuaries and Faculty of Actuaries. Cramer, H., and Wold, H., 1935. Mortality variations in Sweden: a study in graduation and forecasting, Skandinavisk Aktuarietidskrift 18, pp. 164-241. Davidson, A.R., and Reid, A.R., 1927. On the calculation of rates of mortality. Transactions of the Faculty of Actuaries 11(105), pp. 183-232. Ermanno Pitacco, 2004. Survival models in a dynamic context: a survey, Insurance: Mathematics and Economics, vol. 35, pp. 279-298. Lee, R.D., and Carter, L.R.,1992. Modeling and forecasting mortality U.S. mortality. Journal of the American Statistical Association 87 (14), pp. 659-675. Olivieri, A., 2001. Uncertainty in mortality projections: an actuarial perspective. Insurance: Mathematics and Economics, vol. 29(2), pp. 231-245. Renshaw, A.E., and Haberman, S., 2003. On the forecasting of mortality reduction factors. Insurance: Mathematics and Economics, vol. 32, pp. 379-401. Willets, R.C., and Gallop, A.P., 2004. Longevity in the 21st Century. British Actuarial Journal, Volume 10, Number 4, 2004, pp. 685-832. Sithole, T.Z., Haberman, S., and Verrall, R.J., 2000. An investigation into parametric models for mortality projections, with applications to immediate annuitants’ and life office pensioners’ data. Insurance: Mathematics and Economics, vol. 27, pp. 285-312. Yue, C.J., 2002. Oldest-Old Mortality Rates and the Gompertz Law: A Theoretical and Empirical Study Based on Four Countries. Journal of Population Studies, vol.24, pp. 33-57. 中文部分 林麗芬(1996),台灣生命死力之混合存活參數模型—老年經濟安全制度之建立,保險專刊,44期,第165-179頁 林麗芬、強燕明(2005),凌波理論於死亡率改善幅度之預測,逢甲大學統計與精算研究所碩士論文 余清祥(1997),修勻:統計在保險的應用,台北:雙葉書廊 余清祥(2002),死亡率的降低對於退休金純保費的影響:台灣地區的實証研究,壽險季刊,125期,第9-20頁 余清祥、曾奕翔(2005),Lee-Carter模型分析:台灣地區死亡率推估之研究,2005年台灣人口學會學術研討會論文 陳政寬、劉正、涂肇慶(1999),出生時平均餘命的長期趨勢分析:台灣與日本,台灣社會學研究,第87-114頁 黃泓智、余清祥、劉明昌(2004),台灣地區重大傷病醫療費用推估,人口學刊,第29期,35-70頁 |
Description | 碩士 國立政治大學 風險管理與保險研究所 93358021 94 |
資料來源 | http://thesis.lib.nccu.edu.tw/record/#G0933580211 |
Type | thesis |
dc.contributor.advisor | 黃泓智 | zh_TW |
dc.contributor.author (Authors) | 許鳴遠 | zh_TW |
dc.creator (作者) | 許鳴遠 | zh_TW |
dc.date (日期) | 2005 | en_US |
dc.date.accessioned | 2009-09-18 | - |
dc.date.available | 2009-09-18 | - |
dc.date.issued (上傳時間) | 2009-09-18 | - |
dc.identifier (Other Identifiers) | G0933580211 | en_US |
dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/34176 | - |
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) | 93358021 | zh_TW |
dc.description (描述) | 94 | zh_TW |
dc.description.abstract (摘要) | 隨著醫療的普及與生活品質的改善,人類的死亡率持續的下降。壽命的延長是人們夢寐以求的理想,但是隨著壽命延長,人類隨之要面臨許多衍生而來的問題,諸如退休規劃、醫療照顧等問題。面臨延壽風險的問題,現行最急迫的課題莫過於探討人口死亡率預測模型。對於死亡率預測的模型,國外已有相當多的研究,近年來也看到國內有許多學者紛紛投入死亡率的研究,由於目前英國實務上所使用Reduction Factor模型,在國內尚無相關的研究,故本文以Reduction Factor模型為基礎,並透過與Lee-Carter模型的比較與各國死亡率資料的驗證,進一步加以改善並建構出適用於台灣地區死亡率預測的模型,以作為往後用來衡量延壽風險的依據。 | zh_TW |
dc.description.tableofcontents | 第一章 前言 1 第一節 研究動機與目的 1 第二節 研究範圍與研究架構 3 第二章 文獻探討與模型介紹 4 第一節 文獻探討 4 第二節 相關模型 5 第三章 REDUCTION FACTOR模型之實證研究 9 第一節 CMI原始RF模型之實證研究 9 第二節 模型改良與驗證 12 第四章 LEE-CARTER模型的比較 24 第一節 LEE-CARTER模型的配適與預測 24 第二節 RF模型與LEE-CARTER模型的比較 25 第五章 各國資料實證結果 28 第一節 各國死亡率資料 28 第二節 各國配適與預測情形 28 第六章 結論與建議 32 第一節 結論 32 第二節 建議 33 | zh_TW |
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dc.language.iso | en_US | - |
dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0933580211 | en_US |
dc.subject (關鍵詞) | 延壽風險 | zh_TW |
dc.subject (關鍵詞) | 死亡率模型 | zh_TW |
dc.subject (關鍵詞) | Reduction Factor | en_US |
dc.title (題名) | 台灣人口死亡率模型之探討: Reduction Factor模型的實證研究 | zh_TW |
dc.type (資料類型) | thesis | en |
dc.relation.reference (參考文獻) | 英文部分 | zh_TW |
dc.relation.reference (參考文獻) | Blaschke, E., 1923. Sulle tavole di mortalita" variabili col tempo. Giornale di Matematica, Finanziaria 5, pp.1-31 | zh_TW |
dc.relation.reference (參考文獻) | Chang, S.C., 1998. Using Parametric Statistical Models to Estimate Mortality Structure: The Case of Taiwan, Journal of Actuarial Practice, pp. 197-219. | zh_TW |
dc.relation.reference (參考文獻) | Continuous Mortality Investigation Report No.10(1990), Institute of Actuaries and Faculty of Actuaries. | zh_TW |
dc.relation.reference (參考文獻) | Continuous Mortality Investigation Report No.17(1999), Institute of Actuaries and Faculty of Actuaries. | zh_TW |
dc.relation.reference (參考文獻) | Cramer, H., and Wold, H., 1935. Mortality variations in Sweden: a study in graduation and forecasting, Skandinavisk Aktuarietidskrift 18, pp. 164-241. | zh_TW |
dc.relation.reference (參考文獻) | Davidson, A.R., and Reid, A.R., 1927. On the calculation of rates of mortality. Transactions of the Faculty of Actuaries 11(105), pp. 183-232. | zh_TW |
dc.relation.reference (參考文獻) | Ermanno Pitacco, 2004. Survival models in a dynamic context: a survey, Insurance: Mathematics and Economics, vol. 35, pp. 279-298. | zh_TW |
dc.relation.reference (參考文獻) | Lee, R.D., and Carter, L.R.,1992. Modeling and forecasting mortality U.S. mortality. Journal of the American Statistical Association 87 (14), pp. 659-675. | zh_TW |
dc.relation.reference (參考文獻) | Olivieri, A., 2001. Uncertainty in mortality projections: an actuarial perspective. Insurance: Mathematics and Economics, vol. 29(2), pp. 231-245. | zh_TW |
dc.relation.reference (參考文獻) | Renshaw, A.E., and Haberman, S., 2003. On the forecasting of mortality reduction factors. Insurance: Mathematics and Economics, vol. 32, pp. 379-401. | zh_TW |
dc.relation.reference (參考文獻) | Willets, R.C., and Gallop, A.P., 2004. Longevity in the 21st Century. British Actuarial Journal, Volume 10, Number 4, 2004, pp. 685-832. | zh_TW |
dc.relation.reference (參考文獻) | Sithole, T.Z., Haberman, S., and Verrall, R.J., 2000. An investigation into parametric models for mortality projections, with applications to immediate annuitants’ and life office pensioners’ data. Insurance: Mathematics and Economics, vol. 27, pp. 285-312. | zh_TW |
dc.relation.reference (參考文獻) | Yue, C.J., 2002. Oldest-Old Mortality Rates and the Gompertz Law: A Theoretical and Empirical Study Based on Four Countries. Journal of Population Studies, vol.24, pp. 33-57. | zh_TW |
dc.relation.reference (參考文獻) | 中文部分 | zh_TW |
dc.relation.reference (參考文獻) | 林麗芬(1996),台灣生命死力之混合存活參數模型—老年經濟安全制度之建立,保險專刊,44期,第165-179頁 | zh_TW |
dc.relation.reference (參考文獻) | 林麗芬、強燕明(2005),凌波理論於死亡率改善幅度之預測,逢甲大學統計與精算研究所碩士論文 | zh_TW |
dc.relation.reference (參考文獻) | 余清祥(1997),修勻:統計在保險的應用,台北:雙葉書廊 | zh_TW |
dc.relation.reference (參考文獻) | 余清祥(2002),死亡率的降低對於退休金純保費的影響:台灣地區的實証研究,壽險季刊,125期,第9-20頁 | zh_TW |
dc.relation.reference (參考文獻) | 余清祥、曾奕翔(2005),Lee-Carter模型分析:台灣地區死亡率推估之研究,2005年台灣人口學會學術研討會論文 | zh_TW |
dc.relation.reference (參考文獻) | 陳政寬、劉正、涂肇慶(1999),出生時平均餘命的長期趨勢分析:台灣與日本,台灣社會學研究,第87-114頁 | zh_TW |
dc.relation.reference (參考文獻) | 黃泓智、余清祥、劉明昌(2004),台灣地區重大傷病醫療費用推估,人口學刊,第29期,35-70頁 | zh_TW |