Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 陈伟森教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1080/10920277.2007.10597438 |
引用次数
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/17Scopus source URL
其它资讯
摘要Interrupting phenomena are commonly encountered in time-series data analysis with the study of mortality trends being no exception. Nevertheless, previous demographic forecasts have paid little attention to the existence of such phenomena. In this study we use mortality data from Canada and the United States to perform time-series outlier analysis on the key component of the Lee-Carter model: the mortality index. We begin by employing a systematic outlier detection process to ascertain the timing, magnitude, and persistence of any outliers present in historical trends of the mortality index. We then try to match the identified outliers with important events that could possibly justify the vacillations in human mortality levels. At the same time, we adjust the effect of the outliers for model reestimation. The empirical results indicate that the outlier-adjusted model could achieve better fits and more efficient forecasts of variables such as the central rates of death and the life expectancies at birth. Finally, we conclude our study with possible extensions on the valuations of life annuities and the probabilistic distribution of the highest attained age, incorporating the effect of mortality improvement portrayed by the revised model.
着者Li S.-H., Chan W.-S.
期刊名称North American Actuarial Journal
出版年份2007
月份1
日期1
卷号11
期次1
出版社Society of Actuaries
出版地United States
页次68 - 89
国际标準期刊号1092-0277
语言英式英语
