本文選題：長壽風(fēng)險 + 死亡率��； 參考：《中國科學(xué)技術(shù)大學(xué)》2016年博士論文

【摘要】：長壽風(fēng)險是指個人或總體人群未來的平均實際壽命高于預(yù)期壽命所產(chǎn)生的風(fēng)險.在過去幾十年中,人類預(yù)期壽命已大大增加.為了成功對沖長壽風(fēng)險,正確理解與精確預(yù)測死亡率趨勢是至關(guān)重要的Lee Carter于1992年提出了一種外推方法用來建模和預(yù)測美國死亡率模型.目前,該方法已被廣泛應(yīng)用于預(yù)測不同年齡段的死亡率,成為文獻(xiàn)中壽命預(yù)測的標(biāo)準(zhǔn)模型.該Lee-Carter死亡率模型涉及兩步估計過程.在對Lee-Carter及其擴展模型進(jìn)行實證研究時,隨機游動模型(ARIMA(0,1,0))被挑選用來建模死亡率指數(shù)隨時間變化的趨勢.其中,死亡率指數(shù)在死亡率預(yù)測與長壽風(fēng)險管理上起決定作用.本文首次證明了當(dāng)死亡率指數(shù)kt不是一單位根過程時,Lee-Carter死亡率模型的兩步推斷過程是不相合的.隨后,我們給出了檢驗kt是否是單位根過程的方法,并對1933年-2010年美國死亡率數(shù)據(jù)做檢驗.其結(jié)果拒絕了零假設(shè),即我們不認(rèn)為美國死亡率指數(shù)kt服從單位根過程.這就呼吁相關(guān)人員要謹(jǐn)慎應(yīng)用Lee-Carter死亡率模型及其擴展模型.另一方面,我們首次將加權(quán)連接方程應(yīng)用在Qin Lawless (1994)提出的經(jīng)驗似然方法中,從而給出了伴隨有平穩(wěn)GARCH誤差的一階自回歸過程與帶漂移項的一階自回歸過程的一致單位根檢驗方法.這里,一致是不依賴于GARCH誤差的矩條件或其重尾特征.通常情況下,我們很難得到GARCH誤差尾指數(shù)的顯示解,故一致檢驗是極為必要的.
[Abstract]:Longevity risk refers to the individual or the general population future average actual life is higher than life expectancy generated. In the past few decades, life expectancy has increased greatly. In order to successfully hedge longevity risk, correct understanding and accurate prediction of mortality trends is essential to Lee Carter in 1992 proposed an extrapolation method is used to modeling and forecasting the United States mortality model. At present, this method has been widely used in the prediction of different age mortality, become the standard model in the literature and life. The mortality of Lee-Carter model involves two steps estimation process. In the empirical research on Lee-Carter and its extension model, random walk model (ARIMA (0,1,0)) were chosen for modeling mortality index trends over time. Among them, the mortality index plays a decisive role in predicting mortality and longevity risk management for the first time. Prove that when the mortality index KT is not a unit root process, the two step process of inference of Lee-Carter mortality model is not consistent. Then, we give the test whether KT is a method of unit root process, and in 1933 the United States -2010 test. Results the mortality data do reject the null hypothesis, that we don't think the mortality index KT follows a unit root process. This will appeal to the relevant personnel should be cautious application of the mortality of Lee-Carter model and its extended model. On the other hand, we will be the first application on Qin Lawless weighted connection equation (1994) put forward the experience of likelihood method, which gives a consistent unit of first-order stationary GARCH error autoregressive process with a first-order autoregressive process with drift root test. Here is consistent with that moment conditions do not depend on the GARCH error or heavy tailed characteristics. Usually, it is difficult for us to It is very necessary to obtain the display solution of the GARCH error tail exponent, so the uniform test is very necessary.

【學(xué)位授予單位】：中國科學(xué)技術(shù)大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2016
【分類號】：O212.1

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本文編號：1770235