死亡率预测模型的新进展被引量：29

New Developments on Mortality Projection Model

下载PDF

导出

摘要 20世纪后半叶以来,世界范围内,人口死亡率整体上呈现下降趋势。而依据传统死亡模型对死亡率的预测往往高于实际水平,这给养老金财务安排和养老年金的成本核算带来了严重的不利影响。本文沿着死亡率模型的发展轨迹,回顾和总结了各类死亡率预测模型,对死亡率预测模型的最新进展做出评述,并对中国死亡率预测模型的选取给出了建议。 In the past half century, population mortality has obvious decline trend in the world. The projection by traditional mortality models is generally higher than the actual level, which causes serious influence on the pension financial plans and cost calculation of annuities. Following the development trace of mortality models, this paper reviews and summarizes various mortality projection models, then gives some comments on the new developments of mortality projection models and puts forward some suggestions on the selection of mortality model to rot＇cast Chinese mortality.

作者王晓军蔡正高

机构地区中国人民大学统计学院

出处《统计研究》 CSSCI 北大核心 2008年第9期80-84,共5页 Statistical Research

基金 “新世纪优秀人才支持计划”和国家自然科学基金项目“中国企业年金发展模式研究-DB型企业年金的设计、管理与监督”(70573118)联合资助

关键词确定型死亡率模型随机死亡率模型小波转换 Deterministic mortality model Stochastic mortality model Wavelet transform

分类号 F222.3 [经济管理—国民经济]

引文网络
相关文献

参考文献16

1Antolin, P. Longevity Risk and Private Pensions[J]. OECD Working Paper on Insurance and Private Pensions, 2007.
2Booth, H., Maindonald, J., and Smith, L. Applying Lee-Carter under conditions of variable mortality decline [ J ]. Population Studies, 2002, 56 : 325 - 336.
3Brouhns, N., Denuit, M., Vermunt J. K. A Poisson log-linear regression approach to the construction of projected life tables [J]. Insurance: Mathematics and Economics, 2002, 31:373- 393.
4Cairns, A.J.G., Blake, D., Dowd, K. Pricing death: Frameworks for the valuation and securitization of mortality risk [J]. ASTIN Bulletin, 2006a, 36:79- 120.
5Cairns, A. J. G., Blake, D., Dowd, K. A two-factor model for stochastic mortality with parameter uncertainty: theory and calibration [J]. Journal of Risk and Insurance, 2006b, 73:687 -718.
6Continuous Mortality Investigation ( CM1 ) Stochastic Projection Methodologies: Further progress and P-Spline model features, example results and implications[ J]. Working Paper20, 2006.
7Currie, I.D., Durban, M. and Eilers, P. H. C. Smoothing and forecasting mortality rates [ J ]. Statistical Modeling, 2004, 4 : 279 - 298.
8Czado, C., Delwarde, A., Denuit, M. Bayesian Poisson log-linear mortality projections [J]. Insurance : Mathematics and Economics, 2005, 36 : 260 - 284.
9Dahl, M., and Mφller, T. Valuation and hedging of life insurance risks with systematic mortality risk [ J ]. Insurance: Mathematics and Economics, 2006, 35:193- 217.
10De Jong, P., and Tickle, L. Extending the Lee-Carter model of mortality projection[J]. Mathematical Population Studies, 2006, 13:1 - 18.