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/10.1080/10920277.2013.854161 |
引用次数
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/13Scopus source URL
其它资讯
摘要Most extrapolative stochastic mortality models are constructed in a similar manner. Specifically, when they are fitted to historical data, one or more series of time-varying parameters are identified. By extrapolating these parameters to the future, we can obtain a forecast of death probabilities and consequently cash flows arising from life contingent liabilities. In this article, we first argue that, among various time-varying model parameters, those encompassed in the Cairns-Blake-Dowd (CBD) model (also known as Model M5) are most suitably used as indexes to indicate levels of longevity risk at different time points. We then investigate how these indexes can be jointly modeled with a more general class of multivariate time-series models, instead of a simple random walk that takes no account of cross-correlations. Finally, we study the joint prediction region for the mortality indexes. Such a region, as we demonstrate, can serve as a graphical longevity risk metric, allowing practitioners to compare the longevity risk exposures of different portfolios readily. ? 2014 Taylor & Francis Group, LLC.
着者Chan W.-S., Li J.S.-H., Li J.
期刊名称North American Actuarial Journal
出版年份2014
月份1
日期1
卷号18
期次1
出版社Society of Actuaries
出版地United States
页次38 - 58
国际标準期刊号1092-0277
语言英式英语
