| dc.contributor.advisor | 蔡政憲 | zh_TW |
| dc.contributor.author (Authors) | 謝牧庭 | zh_TW |
| dc.creator (作者) | 謝牧庭 | zh_TW |
| dc.date (日期) | 2008 | en_US |
| dc.date.accessioned | 8-Dec-2010 16:49:09 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 16:49:09 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 16:49:09 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0963580161 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49689 | - |
| 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) | 96358016 | zh_TW |
| dc.description (描述) | 97 | zh_TW |
| dc.description.abstract (摘要) | 由於死亡率曲線與殖利率曲線同樣可用水平(level)、斜率(slope) 、曲度(curvature)來描述，且兩者之參數皆為受到時間因素影響之動態因子，故本研究應用Nelson-Siegel(1987)系列之動態利率期間結構模型，如Diebold and Li (2006)的三因子模型，針對日本1947至2006年死亡率進行配適，再以自我相關模型檢視因子的趨勢變化進而預測；結果發現本研究所使用模型在配適死亡率曲線上效果良好，而高齡人口死亡率預測上較幼年、青少年人口精確，以日本資料而言Svensson四因子模型相較於Lee-Carter模型預測能力佳，但在年輕人口死亡率中則不然。 | zh_TW |
| dc.description.abstract (摘要) | The main purpose of this study is tempting to extend existing model in interest model context to mortality modeling. Since the mortality curve has resemblance of interest rate yield curve. Both of them can be describe by level, slope, and curvature terms. Also, the parameters of two curves are the function of time. We apply the Nelson and Siegel family yield rate models such like Diebold and Li (2006) model to fit and forecast the mortality term structure. By using the Japanese mortality data within 1947 to 2006, we find out that the fitting of these models are precise, especially when age dimension being truncated to age 20-103. The forecasting performances comparing with the benchmark Lee-Cater model is better in elder age but worse in younger age. | en_US |
| dc.description.tableofcontents | 目錄第一章 緒論 3第二章 文獻探討 5第一節 Nelson-Siegel系列利率模型發展 5第二節 死亡率模型發展 7第三節 Nelson-Siegel模型應用於死亡率 10第三章 研究架構 11第一節 死亡率的衡量方式 11第二節 建構死亡率模型及參數解釋 12第三節 研究步驟 15第四章 實證結果 18第一節 資料 18第二節 Diebold-Li(DNS)三因子模型 20第三節 Svensson(DNSS)四因子模型 27第五章 結論 35參考文獻 37附錄一 模型配適各年度R-square值 39附錄二 各年度預測之MAPE值 41附錄三 各參數模型殘差圖 42附錄四 20歲以上模型配適及預測相關圖表 44 | 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/#G0963580161 | en_US |
| dc.subject (關鍵詞) | 死亡率模型 | zh_TW |
| dc.subject (關鍵詞) | 自我相關模型 | zh_TW |
| dc.subject (關鍵詞) | Diebold- Li | en_US |
| dc.subject (關鍵詞) | Svensson | en_US |
| dc.title (題名) | 應用Nelson-Siegel系列模型預測死亡率-以日本為例 | zh_TW |
| dc.type (資料類型) | thesis | en |
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| dc.relation.reference (參考文獻) | Diebold, Francis X. and Canlin Li, 2006, “Forecasting the Term Structure of Government Bond Yields,” Journal of Econometrics, Vol. 130, 337-364. | zh_TW |
| dc.relation.reference (參考文獻) | Dowd, K., Cairns, A.J.G., Blake, D., Coughlan, G.D., Epstein, D., and Khalaf- | zh_TW |
| dc.relation.reference (參考文獻) | Allah, M. (2008) Evaluating the Goodness of Fit of Stochastic Mortality Models | zh_TW |
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| dc.relation.reference (參考文獻) | Dowd, K., Cairns, A.J.G., Blake, D., Coughlan, G.D., Epstein, D., and Khalaf-Allah, | zh_TW |
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| dc.relation.reference (參考文獻) | Paper PI-0802. | zh_TW |
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| dc.relation.reference (參考文獻) | Svensson, Lars E. O. (1995) “Estimating Forward Interest Rates with the Extended Nelson-Siegel Method,” Quarterly Review, No. 3, Sveriges Riksbank, 13-26 | zh_TW |
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| 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 |
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