带随机干预的死亡率建模

英文篇名：Dynamic Mortality Factor Model with Jump Shocks
中文刊名：吉林师范大学学报(自然科学版)
英文刊名：Jilin Normal University Journal(Natural Science Edition)
作者：丁江玲
英文作者：DING Jiang-ling(College of Mathematics and Physics ; Anhui Polytechnic University ; Wuhu 241000 ; China)
中文关键词：死亡率风险 ; 干预模型 ; Lee-Carter模型
英文关键词：risk of mortality ; Lee-Carter model ; Intervention analysis model
出版日期：2012-11-10
机构：安徽工程大学数理学院;
年：2012
期：04
出版单位：吉林师范大学学报(自然科学版)

摘要

鉴于我国人口日趋老龄化以及医疗水平的显著改善,地震、流行病等时常发生,死亡率风险成为了每个保险公司的关注重点.为了适应死亡率的特征,该文主要针对死亡率数据具有跳跃性的特点,引入干预模型刻画了死亡跳跃带来的影响,最后在Lee-Cater模型基础上建立了一个带随机干预的死亡率模型,使其更加符合对未来死亡率的预测.
Considering the aging trend of Chinese population and the improvement of the medical condition,and the earthquake and epidemic occurring frequently.The mortality risk is an important part of almost insurance companies.In order to adapt to the characteristics of mortality.This paper mainly takes into account the complexity of mortality with jump shocks and describes the specific effect by the Intervention analysis model.At last,we build the dynamic mortality factor model with jump shocks based on the Lee-Carter model,and so this model can predict the future mortality more accurately.

引文

[1]王晓军,蔡正高.死亡率预测模型的新进展[J].统计研究.2008(09):80～84.
    [2]尚勤,勤学志.随机死亡率和利率下退休年金的长寿风险分析[J].系统工程.2009(11):56～61.
    [3]Cox,S.H.,Lin,Y.,and Pedersen,H.,Mortality risk modeling:Applications toinsurance securitization[J].Insurance:Mathematics and Eco-nomics.2010,46:242～253.
    [4]李志生,刘恒甲.Lee-Carter死亡率模型的估计和应用[J].中国人口科学.2010(03):46～56.