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題名 死亡壓縮及死亡模型在延壽風險的應用 其他題名 Applying Mortality Compression and Models to Longevity Risk 作者 余清祥 貢獻者 國立政治大學統計學系
行政院國家科學委員會關鍵詞 死亡壓縮;死亡模型;延壽風險 日期 2011 上傳時間 30-Aug-2012 09:59:34 (UTC+8) 摘要 壽命延長是20世紀以來各國的共同現象，現在的人類壽命是歷史上最高，而且死亡率也有繼續下降的趨勢，未來壽命是否會如20世紀一樣的延長，引起各領域學者的興趣。壽命理論大致可分為兩派：一派認為壽命有極限，另一派認為壽命不會有上限，由於缺乏高齡資料（例如：100歲以上者），這兩派仍無法有足夠的證據說服另一方。無論壽命是否有極限，學者大多支持近年存活曲線有矩形化(Rectangularization)的傾向，亦即死亡多半集中在少數幾個年齡（高齡），這種現象也可稱為死亡壓縮(Mortality Compression)。死亡是否存在壓縮現象，將影響各界如何制訂長壽風險的對策有關。 過去死亡壓縮測量值均透過生命表中的死亡數，但生命表數值會受到編算方法（或修勻）的影響。有鑑於此，本研究將評估修對死亡壓縮測量值的影響，並提出不會受到修勻方法影響的計算方法，也提議以其他具有機率涵義的測量值衡量死亡壓縮，並應用研究結果於長壽風險。本計畫將分成兩年進行：第一年提出新的死亡壓縮測量方式，使用臺灣、日本、瑞典、美國等國（資料來源：美國柏克萊大學死亡資料庫）的資料，評估各種測量死亡壓縮的數值。第二年根據研究結果再配合現有死亡率模型，包括知名的Lee-Carter模型、多變量分析、Functional PCA (Principal Component Analysis)等，建立適合台灣地區的死亡率模型。
Mortality improvements, especially of the elderly, have been a common phenomenon in many countries since World War II and many believe that the life expectancy would further extend. As a result, longevity risk becomes essential in designing annuity products, and over-estimating the mortality rates may result in financial insolvency. Among all solutions for dealing with this risk, the stochastic mortality models perhaps are the popular choice. Basically, the longevity predictions from the stochastic models are based on the historical data and the predictions behave somewhat like extrapolation. However, there are no guarantees that the future longevity will follow the historical trends. Instead of fitting stochastic models for the mortality rates, this study is to explore the longevity extension from examining the basic properties of survival curves. In specific, we shall check if there are signs of mortality compression (i.e., rectangularization of the survival curve) and evaluate what it means to designing annuity products. The majority of past studies for mortality compression use the graduated mortality rates and their results are likely influenced by the graduation methods used. In this study, we propose an alternative approach to evaluate if there is mortality compression. For the first year of the project, we will focus on the study of mortality compression. We will propose new measurements and apply the proposed method to the mortality rates of Japan, Sweden, and U.S. (Data Source: Human Mortality Database). In particular, unlike the previous results using the graduated mortality rates, the interest is on whether there are signs showing that the mortality improvements are slowing down. The focus of the second year is on combining the findings from the first year and current mortality models, such as the Lee-Carter model, the multivariate analysis method (such as Principal Component Analysis; PCA) and the functional PCA. We shall compare these methods and then propose a model which can describe the Taiwan mortality well.關聯 應用研究
學術補助
研究期間:10008~ 10107
研究經費:679仟元資料類型 report dc.contributor 國立政治大學統計學系 en_US dc.contributor 行政院國家科學委員會 en_US dc.creator (作者) 余清祥 zh_TW dc.date (日期) 2011 en_US dc.date.accessioned 30-Aug-2012 09:59:34 (UTC+8) - dc.date.available 30-Aug-2012 09:59:34 (UTC+8) - dc.date.issued (上傳時間) 30-Aug-2012 09:59:34 (UTC+8) - dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/53412 - dc.description.abstract (摘要) 壽命延長是20世紀以來各國的共同現象，現在的人類壽命是歷史上最高，而且死亡率也有繼續下降的趨勢，未來壽命是否會如20世紀一樣的延長，引起各領域學者的興趣。壽命理論大致可分為兩派：一派認為壽命有極限，另一派認為壽命不會有上限，由於缺乏高齡資料（例如：100歲以上者），這兩派仍無法有足夠的證據說服另一方。無論壽命是否有極限，學者大多支持近年存活曲線有矩形化(Rectangularization)的傾向，亦即死亡多半集中在少數幾個年齡（高齡），這種現象也可稱為死亡壓縮(Mortality Compression)。死亡是否存在壓縮現象，將影響各界如何制訂長壽風險的對策有關。 過去死亡壓縮測量值均透過生命表中的死亡數，但生命表數值會受到編算方法（或修勻）的影響。有鑑於此，本研究將評估修對死亡壓縮測量值的影響，並提出不會受到修勻方法影響的計算方法，也提議以其他具有機率涵義的測量值衡量死亡壓縮，並應用研究結果於長壽風險。本計畫將分成兩年進行：第一年提出新的死亡壓縮測量方式，使用臺灣、日本、瑞典、美國等國（資料來源：美國柏克萊大學死亡資料庫）的資料，評估各種測量死亡壓縮的數值。第二年根據研究結果再配合現有死亡率模型，包括知名的Lee-Carter模型、多變量分析、Functional PCA (Principal Component Analysis)等，建立適合台灣地區的死亡率模型。 en_US dc.description.abstract (摘要) Mortality improvements, especially of the elderly, have been a common phenomenon in many countries since World War II and many believe that the life expectancy would further extend. As a result, longevity risk becomes essential in designing annuity products, and over-estimating the mortality rates may result in financial insolvency. Among all solutions for dealing with this risk, the stochastic mortality models perhaps are the popular choice. Basically, the longevity predictions from the stochastic models are based on the historical data and the predictions behave somewhat like extrapolation. However, there are no guarantees that the future longevity will follow the historical trends. Instead of fitting stochastic models for the mortality rates, this study is to explore the longevity extension from examining the basic properties of survival curves. In specific, we shall check if there are signs of mortality compression (i.e., rectangularization of the survival curve) and evaluate what it means to designing annuity products. The majority of past studies for mortality compression use the graduated mortality rates and their results are likely influenced by the graduation methods used. In this study, we propose an alternative approach to evaluate if there is mortality compression. For the first year of the project, we will focus on the study of mortality compression. We will propose new measurements and apply the proposed method to the mortality rates of Japan, Sweden, and U.S. (Data Source: Human Mortality Database). In particular, unlike the previous results using the graduated mortality rates, the interest is on whether there are signs showing that the mortality improvements are slowing down. The focus of the second year is on combining the findings from the first year and current mortality models, such as the Lee-Carter model, the multivariate analysis method (such as Principal Component Analysis; PCA) and the functional PCA. We shall compare these methods and then propose a model which can describe the Taiwan mortality well. en_US dc.language.iso en_US - dc.relation (關聯) 應用研究 en_US dc.relation (關聯) 學術補助 en_US dc.relation (關聯) 研究期間:10008~ 10107 en_US dc.relation (關聯) 研究經費:679仟元 en_US dc.subject (關鍵詞) 死亡壓縮;死亡模型;延壽風險 en_US dc.title (題名) 死亡壓縮及死亡模型在延壽風險的應用 zh_TW dc.title.alternative (其他題名) Applying Mortality Compression and Models to Longevity Risk en_US dc.type (資料類型) report en
