运用带跳过程的死亡力度对死亡率的估计

Estimation of Death Rate When Death Force Is a Jump Process

死亡率是分析各类寿险精算函数的基础。在传统的精算实务中实质上是假定了死亡率是静态不变的,然而,根据世界各国的历史人口统计数据,死亡率却是随时间而变动的,具有随机性和非连续性。人口老龄化所带来的长寿风险对社会养老保险精算带来巨大的挑战,准确的预测死亡率,提高精算结果的科学性是防范长寿风险的主要技术手段。本文对带跳随机死亡力度模型的参数提出估计方法,进而对死亡率进行预测。通过实证研究,总体来看,利用这种方法对死亡率的预测结果具有较好的预测精度。

The death rate is the basis of analyzing all kinds of actuarial functions.In the traditional actuarial practice,it is essentially assumed that the death rate is static.However,according to the historical demographic data of all countries in the world,the death rate changes with time,which is random and discontinuous.The longevity risk brought by the aging of population brings great challenges to the actuarial of social endowment insurance.The main technical means to prevent longevity risk is to accurately predict the death rate and improve the scientificity of actuarial results.In this paper,we propose an estimation method for the parameters of the random death rate model under the force of mortality with jump,so as to predict the death rate.Through empirical research,on the whole,this method has good estimation accuracy for mortality.