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) |
| 伍卓贤教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.matcom.2012.08.007 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/1WOS source URL
其它资讯
摘要Given a fitted stochastic mortality model, we can express the uncertainty associated with future death rates in terms of confidence or prediction intervals. Recently, a group of researchers have proposed using fan charts to display prediction intervals for future mortality rates. Existing mortality fan charts are based on isolated pointwise prediction intervals. By pointwise we mean that the interval reflects uncertainty in a quantity at a single point of time, but it does not account for any dynamic property of the time-series. In this paper, we overcome this limitation by introducing the concept of time-simultaneous fan charts. In more detail, instead of pointwise intervals, a time-simultaneous fan chart is derived from a prediction band with a prescribed probability of covering the whole time trajectory. We present two numerical methods for producing time-simultaneous fan charts. These methods can be applied to common stochastic mortality models, including the generalized Cairns-Blake-Dowd model. Finally, the proposed method is illustrated with mortality data from the populations of Australia and New Zealand. (C) 20http://aims.cuhk.edu.hk/converis/portal/Publication/12 IMACS. Published by Elsevier B.V. All rights reserved.
着者Li JSH, Ng ACY, Chan WS
会议名称MSSANZ http://aims.cuhk.edu.hk/converis/portal/Publication/19th Biennial Congress on Modelling and Simulation (MODSIM)
会议开始日http://aims.cuhk.edu.hk/converis/portal/Publication/12.http://aims.cuhk.edu.hk/converis/portal/Publication/12.20http://aims.cuhk.edu.hk/converis/portal/Publication/1http://aims.cuhk.edu.hk/converis/portal/Publication/1
会议完结日http://aims.cuhk.edu.hk/converis/portal/Publication/16.http://aims.cuhk.edu.hk/converis/portal/Publication/12.20http://aims.cuhk.edu.hk/converis/portal/Publication/1http://aims.cuhk.edu.hk/converis/portal/Publication/1
会议地点Perth
期刊名称Mathematics and Computers in Simulation
出版年份20http://aims.cuhk.edu.hk/converis/portal/Publication/13
月份7
日期http://aims.cuhk.edu.hk/converis/portal/Publication/1
卷号93
出版社Elsevier
页次98 - http://aims.cuhk.edu.hk/converis/portal/Publication/107
国际标準期刊号0378-4754
电子国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/1872-7http://aims.cuhk.edu.hk/converis/portal/Publication/166
语言英式英语
关键词Cairns-Blake-Dowd model; Longevity risk; Prediction bands
Web of Science 学科类别Computer Science; Computer Science, Interdisciplinary Applications; COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS; Computer Science, Software Engineering; COMPUTER SCIENCE, SOFTWARE ENGINEERING; Mathematics; Mathematics, Applied; MATHEMATICS, APPLIED
