【摘要】：傳統(tǒng)的精算實務(wù)中,精算師運用生命表計算壽險產(chǎn)品定價。這種做法是建立在死亡率靜態(tài)不變的假設(shè)之上的。然而,根據(jù)世界各國的歷史人口統(tǒng)計數(shù)據(jù),死亡率卻是隨時間而變動的,具有隨機特征。近20年來,各種能夠刻畫死亡率隨機特征的隨機死亡率模型被開發(fā)了出來。如何根據(jù)我國的實際情況挑選合適的隨機死亡率模型,從而更好地處理以及預(yù)測死亡率隨著時間的變動,對政府社保系統(tǒng)、保險公司的壽險產(chǎn)品、企業(yè)的養(yǎng)老金以及目前國際上正在大力推進的長壽衍生品的設(shè)計與定價研究來說都是至關(guān)重要的。 本文挑選了經(jīng)典Lee-Carter模型、Renshaw-Haberman模型、Currie模型、CBD模型及其三種擴展形、以及適用于老年人口的一種Plat模型特例,共八個具有代表性的隨機死亡率模型,進行了模型結(jié)構(gòu)、擬合以及外推方法的詳細介紹,并針對我國1995-2011年17年間60-89歲男性老年人口的死亡情況進行了一系列定性與定量的比較研究。對于本文所使用的數(shù)據(jù)集的適用性所做的比較研究涉及三大方面：1.)與模型結(jié)構(gòu)有關(guān)的性質(zhì)：包括非負(fù)死亡率、易用性、簡潔性、是否考慮出生年因素、不同年齡死亡率序列是否完全相關(guān)等。2.)與模型擬合相關(guān)的比較：包括BIC、似然比檢驗等極大似然值與懲罰項的比較,基于標(biāo)準(zhǔn)死亡殘差服從獨立標(biāo)準(zhǔn)正態(tài)分布假設(shè)的各種檢驗,以及參數(shù)魯棒性比較。3.)與模型預(yù)測相關(guān)的比較：包括長期預(yù)測合理性,預(yù)測魯棒性,及樣本外預(yù)測精度。 比較后發(fā)現(xiàn)參數(shù)最少的經(jīng)典CBD模型是最適用于我國男性老年數(shù)據(jù)集的,它是唯一一個在所有比較項目下均表現(xiàn)良好的模型。最后,本文根據(jù)我國老年男性數(shù)據(jù)集的特征以及對各模型比較中的一些發(fā)現(xiàn),嘗試引入了一種新的模型,將其與CBD模型進行比較,發(fā)現(xiàn)CBD模型仍然更勝一籌。
[Abstract]:In traditional actuarial practice, actuaries use life tables to price life insurance products. This approach is based on the assumption that mortality is static and constant. However, according to the world's historical demographic data, the mortality rate varies with time and has random characteristics. In recent 20 years, various random mortality models which can describe the random characteristics of mortality have been developed. How to select the appropriate random mortality model according to the actual situation in our country, so as to better deal with and predict the mortality rate over time, to the government social security system, to the life insurance products of insurance companies, Corporate pensions, as well as research into the design and pricing of longevity derivatives that are now being vigorously promoted internationally, are crucial. This paper selects the classical Lee-Carter model, Renshaw-Haberman model, Currie model, CBD model and its three extended forms, and a special case of Plat model for the elderly population. Eight representative random mortality models are selected and constructed. The fitting and extrapolation methods are introduced in detail, and a series of qualitative and quantitative comparative studies on the death of the aged male population aged 60-89 years from 1995 to 2011 in China are carried out. The comparative study of the applicability of the data set used in this paper involves three aspects: 1. Properties related to the structure of the model: including non-negative mortality, ease of use, brevity, whether birth factors are taken into account, whether different age mortality sequences are completely relevant, etc. Comparison with model fitting: the comparison of maximum likelihood value and penalty term such as BIC, likelihood ratio test, various tests based on standard death residuals hypothesis of independent standard normal distribution, and comparison of parameter robustness. Comparison with model prediction: long-term prediction rationality, prediction robustness, and prediction accuracy outside the sample. It is found that the classical CBD model with the least parameters is the most suitable for the male data set in China, and it is the only one that performs well under all comparative items. Finally, according to the characteristics of Chinese old male data sets and some findings in the comparison of each model, we try to introduce a new model and compare it with the CBD model. It is found that the CBD model is still superior.
【學(xué)位授予單位】：華東師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：C924.24;F842.62

【參考文獻】

相關(guān)期刊論文 前2條

1 韓猛;王曉軍;;Lee-Carter模型在中國城市人口死亡率預(yù)測中的應(yīng)用與改進[J];保險研究;2010年10期

2 王曉軍;黃順林;;中國人口死亡率隨機預(yù)測模型的比較與選擇[J];人口與經(jīng)濟;2011年01期

，

本文編號：2424586