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題名 考慮族群間共同改善趨勢效果下之死亡率模型建構
Mortality modeling based on traditional LC model and co-Improvement effect between populations作者 黃見桐
Hwang, Chien Tung貢獻者 黃泓智<br>楊曉文
黃見桐
Hwang, Chien Tung關鍵詞 死亡率改善
Lee Carter模型
Coherent 模型
共同因子模型
自然避險
Mortality Improvement
Lee Carter Model
Coherent Model
Common Factor Model
Natural Hedging日期 2015 上傳時間 1-Mar-2016 10:29:21 (UTC+8) 摘要 臺灣的男女死亡率皆呈現逐年遞減的趨勢，自1993年進入高齡化社會後，預計將會在2018年進入高齡社會；人口不斷老化的結果讓社會上不論人民或是如保險公司等年金提供者皆面臨愈來愈嚴重的長壽風險；目前現有文獻提出了許多方式以解決長壽風險，其中多數的方法皆需使用到對未來死亡率之預估。 本研究為了能夠更準確的預估未來死亡率的趨勢，參考了Lee Carter (1992)所提出之模型以及Li and Lee (2005)、Li (2013)提出之共同改善趨勢效果，提出考慮商品與商品間以及商品與整體人口間共同改善趨勢之死亡率模型；本研究利用臺灣之保險公司壽險及年金業務經驗死亡率和Human Mortality Database之臺灣人口資料對模型進行配適，並以MAE、MAPE、RMSE三項指標比較與Lee Carter模型之優劣。 最後，本研究利用所配適之模型進行預測，模擬自然避險之效果，檢視臺灣保險業進行自然避險的可能效益，並對決策者在於決定是否要進行自然避險方面給出建議。
Taiwan became an aging society in 1993 and is expected to become an aged society in 2018. The progressive decrease in Taiwan mortality since the 20th century for both genders has made longevity risk a serious problem for both people and annuity provider in Taiwan.So far, the literature has discussed about how to deal with longevity risk and came out with several solutions which can be categorize as “industry self-insurance”, “ mortality projection improvement” and “capital market solutions” , most of them are related to the projection of mortality.In order to provide a more precise projection of future mortality trend, this article designs several models which collaborates Lee Carter Model (1992) and the common improvement trend suggested by Li and Lee (2005). Based on our models, the Taiwan insurance industry experience mortality data and the Taiwan population mortality data, we test the performance of our models and make comparison.Lastly, we use the model we find to project future mortality trend and try to make a simulation of natural hedging strategy in Taiwan. The purpose we do this is to test the performance of natural hedging method and give suggestion for the decision-maker when they are considering whether to execute a natural hedging strategy.參考文獻 一、英文部分Biffis, E. (2005). Affine processes for dynamic mortality and actuarial valuations. Insurance: Mathematics and Economics 37, 443–468.Biffis, E., Blake, D. (2009). Mortality-linked securities and derivatives. Discussion Paper PI-0901. The Pensions Institute.Blake, D., Burrows, W. (2001). Survivor bonds: helping to hedge mortality risk. Journal of Risk and Insurance 68, 339–348.Blake, D., Cairns, A.J.G., Dowd, K. (2006a) Living with mortality: Longevity bonds and other mortality-linked securities. British Actuarial Journal 12, 153–197.Blake, D., Cairns, A.J.G., Dowd, K., MacMinn, R. (2006b). Longevity bonds: Financial engineering, valuation, and hedging. Journal of Risk and Insurance 73 (4), 647–672.Blake, D., Dawson, P., Dowd, K., Cairns, A.J.G. (2010). Survivor derivatives: a consistent pricing framework. Journal of Risk and Insurance 77, 579–596.Blake, D., Cairns, A.J.G., Coughlan, G.D., Dowd, K., MacMinn, R. (2012). The new life market. Working Paper.Brouhns, N., Denuit, M., Vermunt, J.K. (2002). A Poisson log-bilinear regression approach to the construction of projected life tables. Insurance: Mathematics and Economics 31, 373–393.Cairns, A. J., Blake, D., & Dowd, K. (2006a). Pricing death: Frameworks for the valuation and securitization of mortality risk. Astin Bulletin, 36(01), 79-120.Cairns, A.J.G., Blake, D., Dowd, K., (2006b). A two-factor model for stochastic mortality with parameter uncertainty: Theory and calibration. Journal of Risk and Insurance 73, 687–718.Cairns, A. J., Blake, D., & Dowd, K. (2008). Modelling and management of mortality risk: a review. Scandinavian Actuarial Journal, 2008(2-3), 79-113.Cox, S.H., Lin, Y., Wang, S. (2006). Multivariate exponential tilting and pricing implications for mortality securitization. Journal of Risk and Insurance 73, 719–736.Cox, S.H., Lin, Y. (2007). Natural hedging of life and annuity mortality risks. North American Actuarial Journal 11 (3), 1–15.Dahl, M. (2004). Stochastic mortality in life insurance: Market reserves and mortality-linked insurance contracts. Insurance: Mathematics and Economics 35, 113–136.Dowd, K. (2003). Survivor bonds: A comment on blake and burrows. Journal of Risk and Insurance 70 (2), 339–348.Human Mortality Database, 2014, http://www.mortality.org.Lee, R. D., & Carter, L. R. (1992). Modeling and forecasting US mortality.Journal of the American statistical association, 87(419), 659-671.Lee, R. D., and F. Nault. (1993). Modeling and Forecasting Provincial Mortality in Canada. Paper presented at the World Congress of the International Union for the Scientific Study of Population, Montreal, Canada.Lee, R. (2000). The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications, North American Actuarial Journal, 4: 80-91.Li, N., & Lee, R. (2005). Coherent mortality forecasts for a group of populations: An extension of the Lee-Carter method. Demography, 42(3), 575-594.Li, J. (2013), A Poisson Common Factor Model for Projecting Mortality and Life Expectancy Jointly for Females and Males, Population studies, 67: 111-126Li, J., & Haberman, S. (2015). On the effectiveness of natural hedging for insurance companies and pension plans. Insurance: Mathematics and Economics, 61, 286-297.Lin, Y., Cox, S.H. (2005). Securitization of mortality risks in life annuities. Journal of Risk and Insurance 72, 227–252.Milevsky, M.A., Promislow, S.D. (2001). Mortality derivatives and the option to annuitize. Insurance: Mathematics and Economics 29, 299–318.Renshaw, A.E., Haberman, S. (2003). Lee-Carter mortality forecasting with agespecific enhancement. Insurance: Mathematics and Economics 33, 255–272.Wang, J. L., Huang, H. C., Yang, S. S., & Tsai, J. T. (2010). An optimal product mix for hedging longevity risk in life insurance companies: The immunization theory approach. Journal of Risk and Insurance, 77(2), 473-497.Wang, C. W., Huang, H. C., & Hong, D. C. (2013). A feasible natural hedging strategy for insurance companies. Insurance: Mathematics and Economics,52(3), 532-541.White, K.M. (2002). Longevity Advances in High-Income Countries, 1955-96, Population and Development Review, 28: 59-76.Wilson, C. (2001). On the Scale of Global Demographic Convergence 1950-2000, Population and Development Review, 27: 155-72.Yang, S. S., Y. -P. Chang and Y. -Y. Yeh. (2008). A Residual Bootstrapped Analysis of Lee-Carter Model in Mortality Forecasting, 12th APRIA Annual Conference, Sydney.Yang, S. S., Yue, J. C., & Huang, H. C. (2010). Modeling longevity risks using a principal component approach: A comparison with existing stochastic mortality models. Insurance: Mathematics and Economics, 46(1), 254-270.Yang, S. S., & Wang, C. W. (2013). Pricing and securitization of multi-country longevity risk with mortality dependence. Insurance: Mathematics and Economics, 52(2), 157-169.Y. -Y. Yeh. (2014). Residual Analysis of a Coherent Mortality Model and ItsMortality Forecasts Using a Bootstrap Approach, Working paper.二、中文部分國家發展委員會，2014。中華民國人口推計(103至150年)。國家發展委員會。呂政治(2008)。各險種經驗死亡率之分析與期保費高低估之探討。國立政治大學風險管理與保險研究所碩士論文。 描述 碩士
國立政治大學
風險管理與保險研究所
102358022資料來源 http://thesis.lib.nccu.edu.tw/record/#G1023580221 資料類型 thesis dc.contributor.advisor 黃泓智<br>楊曉文 zh_TW dc.contributor.author (Authors) 黃見桐 zh_TW dc.contributor.author (Authors) Hwang, Chien Tung en_US dc.creator (作者) 黃見桐 zh_TW dc.creator (作者) Hwang, Chien Tung en_US dc.date (日期) 2015 en_US dc.date.accessioned 1-Mar-2016 10:29:21 (UTC+8) - dc.date.available 1-Mar-2016 10:29:21 (UTC+8) - dc.date.issued (上傳時間) 1-Mar-2016 10:29:21 (UTC+8) - dc.identifier (Other Identifiers) G1023580221 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/81468 - 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) 102358022 zh_TW dc.description.abstract (摘要) 臺灣的男女死亡率皆呈現逐年遞減的趨勢，自1993年進入高齡化社會後，預計將會在2018年進入高齡社會；人口不斷老化的結果讓社會上不論人民或是如保險公司等年金提供者皆面臨愈來愈嚴重的長壽風險；目前現有文獻提出了許多方式以解決長壽風險，其中多數的方法皆需使用到對未來死亡率之預估。 本研究為了能夠更準確的預估未來死亡率的趨勢，參考了Lee Carter (1992)所提出之模型以及Li and Lee (2005)、Li (2013)提出之共同改善趨勢效果，提出考慮商品與商品間以及商品與整體人口間共同改善趨勢之死亡率模型；本研究利用臺灣之保險公司壽險及年金業務經驗死亡率和Human Mortality Database之臺灣人口資料對模型進行配適，並以MAE、MAPE、RMSE三項指標比較與Lee Carter模型之優劣。 最後，本研究利用所配適之模型進行預測，模擬自然避險之效果，檢視臺灣保險業進行自然避險的可能效益，並對決策者在於決定是否要進行自然避險方面給出建議。 zh_TW dc.description.abstract (摘要) Taiwan became an aging society in 1993 and is expected to become an aged society in 2018. The progressive decrease in Taiwan mortality since the 20th century for both genders has made longevity risk a serious problem for both people and annuity provider in Taiwan.So far, the literature has discussed about how to deal with longevity risk and came out with several solutions which can be categorize as “industry self-insurance”, “ mortality projection improvement” and “capital market solutions” , most of them are related to the projection of mortality.In order to provide a more precise projection of future mortality trend, this article designs several models which collaborates Lee Carter Model (1992) and the common improvement trend suggested by Li and Lee (2005). Based on our models, the Taiwan insurance industry experience mortality data and the Taiwan population mortality data, we test the performance of our models and make comparison.Lastly, we use the model we find to project future mortality trend and try to make a simulation of natural hedging strategy in Taiwan. The purpose we do this is to test the performance of natural hedging method and give suggestion for the decision-maker when they are considering whether to execute a natural hedging strategy. en_US dc.description.tableofcontents 第一章 前言 1第一節 研究動機 1第二節 研究目的 2第二章 文獻探討 4第一節 長壽風險之解決方法 4第二節 基差風險及其解決辦法 5第三節 死亡率之共同改善趨勢效果 8第三章 模型建構 9第一節 模型介紹 9第二節 參數配適方法 12第三節 模型配適及比較 13第四章 應用: 考慮基差風險之自然避險策略 22第一節 何謂自然避險及基差風險對自然避險之影響 22第二節 模型應用—自然避險 23第五章 結論與建議 31參考文獻 32一、英文部分 32二、中文部分 34 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1023580221 en_US dc.subject (關鍵詞) 死亡率改善 zh_TW dc.subject (關鍵詞) Lee Carter模型 zh_TW dc.subject (關鍵詞) Coherent 模型 zh_TW dc.subject (關鍵詞) 共同因子模型 zh_TW dc.subject (關鍵詞) 自然避險 zh_TW dc.subject (關鍵詞) Mortality Improvement en_US dc.subject (關鍵詞) Lee Carter Model en_US dc.subject (關鍵詞) Coherent Model en_US dc.subject (關鍵詞) Common Factor Model en_US dc.subject (關鍵詞) Natural Hedging en_US dc.title (題名) 考慮族群間共同改善趨勢效果下之死亡率模型建構 zh_TW dc.title (題名) Mortality modeling based on traditional LC model and co-Improvement effect between populations en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、英文部分Biffis, E. (2005). Affine processes for dynamic mortality and actuarial valuations. Insurance: Mathematics and Economics 37, 443–468.Biffis, E., Blake, D. (2009). Mortality-linked securities and derivatives. Discussion Paper PI-0901. The Pensions Institute.Blake, D., Burrows, W. (2001). Survivor bonds: helping to hedge mortality risk. Journal of Risk and Insurance 68, 339–348.Blake, D., Cairns, A.J.G., Dowd, K. (2006a) Living with mortality: Longevity bonds and other mortality-linked securities. British Actuarial Journal 12, 153–197.Blake, D., Cairns, A.J.G., Dowd, K., MacMinn, R. (2006b). Longevity bonds: Financial engineering, valuation, and hedging. Journal of Risk and Insurance 73 (4), 647–672.Blake, D., Dawson, P., Dowd, K., Cairns, A.J.G. (2010). Survivor derivatives: a consistent pricing framework. Journal of Risk and Insurance 77, 579–596.Blake, D., Cairns, A.J.G., Coughlan, G.D., Dowd, K., MacMinn, R. (2012). The new life market. Working Paper.Brouhns, N., Denuit, M., Vermunt, J.K. (2002). A Poisson log-bilinear regression approach to the construction of projected life tables. Insurance: Mathematics and Economics 31, 373–393.Cairns, A. J., Blake, D., & Dowd, K. (2006a). Pricing death: Frameworks for the valuation and securitization of mortality risk. Astin Bulletin, 36(01), 79-120.Cairns, A.J.G., Blake, D., Dowd, K., (2006b). A two-factor model for stochastic mortality with parameter uncertainty: Theory and calibration. Journal of Risk and Insurance 73, 687–718.Cairns, A. J., Blake, D., & Dowd, K. (2008). Modelling and management of mortality risk: a review. Scandinavian Actuarial Journal, 2008(2-3), 79-113.Cox, S.H., Lin, Y., Wang, S. (2006). Multivariate exponential tilting and pricing implications for mortality securitization. Journal of Risk and Insurance 73, 719–736.Cox, S.H., Lin, Y. (2007). Natural hedging of life and annuity mortality risks. North American Actuarial Journal 11 (3), 1–15.Dahl, M. (2004). Stochastic mortality in life insurance: Market reserves and mortality-linked insurance contracts. Insurance: Mathematics and Economics 35, 113–136.Dowd, K. (2003). Survivor bonds: A comment on blake and burrows. Journal of Risk and Insurance 70 (2), 339–348.Human Mortality Database, 2014, http://www.mortality.org.Lee, R. D., & Carter, L. R. (1992). Modeling and forecasting US mortality.Journal of the American statistical association, 87(419), 659-671.Lee, R. D., and F. Nault. (1993). Modeling and Forecasting Provincial Mortality in Canada. Paper presented at the World Congress of the International Union for the Scientific Study of Population, Montreal, Canada.Lee, R. (2000). The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications, North American Actuarial Journal, 4: 80-91.Li, N., & Lee, R. (2005). Coherent mortality forecasts for a group of populations: An extension of the Lee-Carter method. Demography, 42(3), 575-594.Li, J. (2013), A Poisson Common Factor Model for Projecting Mortality and Life Expectancy Jointly for Females and Males, Population studies, 67: 111-126Li, J., & Haberman, S. (2015). On the effectiveness of natural hedging for insurance companies and pension plans. Insurance: Mathematics and Economics, 61, 286-297.Lin, Y., Cox, S.H. (2005). Securitization of mortality risks in life annuities. Journal of Risk and Insurance 72, 227–252.Milevsky, M.A., Promislow, S.D. (2001). Mortality derivatives and the option to annuitize. Insurance: Mathematics and Economics 29, 299–318.Renshaw, A.E., Haberman, S. (2003). Lee-Carter mortality forecasting with agespecific enhancement. Insurance: Mathematics and Economics 33, 255–272.Wang, J. L., Huang, H. C., Yang, S. S., & Tsai, J. T. (2010). An optimal product mix for hedging longevity risk in life insurance companies: The immunization theory approach. Journal of Risk and Insurance, 77(2), 473-497.Wang, C. W., Huang, H. C., & Hong, D. C. (2013). A feasible natural hedging strategy for insurance companies. Insurance: Mathematics and Economics,52(3), 532-541.White, K.M. (2002). Longevity Advances in High-Income Countries, 1955-96, Population and Development Review, 28: 59-76.Wilson, C. (2001). On the Scale of Global Demographic Convergence 1950-2000, Population and Development Review, 27: 155-72.Yang, S. S., Y. -P. Chang and Y. -Y. Yeh. (2008). A Residual Bootstrapped Analysis of Lee-Carter Model in Mortality Forecasting, 12th APRIA Annual Conference, Sydney.Yang, S. S., Yue, J. C., & Huang, H. C. (2010). Modeling longevity risks using a principal component approach: A comparison with existing stochastic mortality models. Insurance: Mathematics and Economics, 46(1), 254-270.Yang, S. S., & Wang, C. W. (2013). Pricing and securitization of multi-country longevity risk with mortality dependence. Insurance: Mathematics and Economics, 52(2), 157-169.Y. -Y. Yeh. (2014). Residual Analysis of a Coherent Mortality Model and ItsMortality Forecasts Using a Bootstrap Approach, Working paper.二、中文部分國家發展委員會，2014。中華民國人口推計(103至150年)。國家發展委員會。呂政治(2008)。各險種經驗死亡率之分析與期保費高低估之探討。國立政治大學風險管理與保險研究所碩士論文。 zh_TW
