Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 张绍洪教授 (统计学系) |
| 陈伟森教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1080/10920277.2011.10597607 |
引用次数
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/15Scopus source URL
其它资讯
摘要In recent years mortality has improved considerably faster than had been predicted, resulting in unforeseen mortality losses for annuity and pension liabilities. Actuaries have considered various models to make stochastic mortality projections, one of which is the celebrated Lee-Carter model. In using the Lee-Carter model, mortality forecasts are made on the basis of the assumed linearity of a mortality index, parameter kt, in the model. However, if this index is indeed not linear, forecasts will tend to be biased and inaccurate. A primary objective of this paper is to examine the linearity of this index by rigorous statistical hypothesis tests. Specifically, we consider Zivot and Andrews' procedure to determine if there are any structural breaks in the Lee-Carter mortality indexes for the general populations of England and Wales and the United States. The results indicate that there exists a statistically significant structural breakpoint in each of the indexes, suggesting that forecasters should be extra cautious when they extrapolate these indexes. Our findings also provide sound statistical evidence for some demographers' observation of an accelerated mortality decline after the mid-1970s.
着者Li J.S.-H., Chan W.-S., Cheung S.-H.
期刊名称North American Actuarial Journal
出版年份2011
月份4
日期20
卷号http://aims.cuhk.edu.hk/converis/portal/Publication/15
期次1
出版社Society of Actuaries
出版地United States
页次13 - 31
国际标準期刊号1092-0277
语言英式英语
