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題名 Mortality Modeling with Non-Gaussian Innovations and Applications to the Valuation of Longevity Swaps
作者 黃泓智
Wang, Chou-Wen ; Huang, Hong-Chih ; Liu,I-Chien
貢獻者 風管系
日期 2013-03
上傳時間 21-十一月-2013 14:56:13 (UTC+8)
摘要 This article provides an iterative fitting algorithm to generate maximum likelihood estimates under the Cox regression model and employs non-Gaussian distributions—the jump diffusion (JD), variance gamma (VG), and normal inverse Gaussian (NIG) distributions—to model the error terms of the Renshaw and Haberman () (RH) model. In terms of mean absolute percentage error, the RH model with non-Gaussian innovations provides better mortality projections, using 1900–2009 mortality data from England and Wales, France, and Italy. Finally, the lower hedge costs of longevity swaps according to the RH model with non-Gaussian innovations are not only based on the lower swap curves implied by the best prediction model, but also in terms of the fatter tails of the unexpected losses it generates.
關聯 Journal of Risk and Insurance,80(3),775-797
資料類型 article
DOI http://dx.doi.org/10.1111/j.1539-6975.2013.12002.x
dc.contributor 風管系en_US
dc.creator (作者) 黃泓智zh_TW
dc.creator (作者) Wang, Chou-Wen ; Huang, Hong-Chih ; Liu,I-Chienen_US
dc.date (日期) 2013-03en_US
dc.date.accessioned 21-十一月-2013 14:56:13 (UTC+8)-
dc.date.available 21-十一月-2013 14:56:13 (UTC+8)-
dc.date.issued (上傳時間) 21-十一月-2013 14:56:13 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/61756-
dc.description.abstract (摘要) This article provides an iterative fitting algorithm to generate maximum likelihood estimates under the Cox regression model and employs non-Gaussian distributions—the jump diffusion (JD), variance gamma (VG), and normal inverse Gaussian (NIG) distributions—to model the error terms of the Renshaw and Haberman () (RH) model. In terms of mean absolute percentage error, the RH model with non-Gaussian innovations provides better mortality projections, using 1900–2009 mortality data from England and Wales, France, and Italy. Finally, the lower hedge costs of longevity swaps according to the RH model with non-Gaussian innovations are not only based on the lower swap curves implied by the best prediction model, but also in terms of the fatter tails of the unexpected losses it generates.en_US
dc.format.extent 256779 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) Journal of Risk and Insurance,80(3),775-797en_US
dc.title (題名) Mortality Modeling with Non-Gaussian Innovations and Applications to the Valuation of Longevity Swapsen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1111/j.1539-6975.2013.12002.xen_US
dc.doi.uri (DOI) http://dx.doi.org/10.1111/j.1539-6975.2013.12002.xen_US