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This paper provides a comparative investigation of simulation strategies for measuring the longevity risk associated with
predictions of mortality rates and derived estimates of life expectancy. The study considers the Lee–Carter framework and
a generalised linear Poisson model for representing the dynamics of mortality, as well as enhancements that allow for joint
modelling of the dispersion and the effect of using a negative binomial rather than a Poisson assumption.
相似文献
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我国的商业养老保险作为养老金体系的重要组成部分,在实践中的发展比较缓慢,原因之一是保险公司缺乏长寿风险管理的经验。本文将探索我国商业养老保险使用分红年金管理长寿风险的可行性。研究该分红年金在给付规则和分红来源方面的特征,并基于实际数据,构建动态随机死亡率模型和随机收益率模型,采用蒙特卡洛随机模拟方法,比较分红年金和传统年金在待遇分布、资产和损失分布、破产概率等方面的特征,得出分红年金能够在精算公平原则下有效应对长寿风险,并且在待遇给付、偿付能力和盈利能力方面具有明显优势的结论。 相似文献
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Mortality forecasting is the basis of population forecasting. In recent years, new progress has been made in mortality models. From the earliest static mortality models, mortality models have been developed into dynamic forecasting models including time terms, such as Lee-Carter model family, CBD model family and so on. This paper reviews and sorts out relevant literature on mortality forecasting models. With the development of dynamic models, some scholars have developed a series of mortality improvement models based on the level of mortality improvement. In addition, with the progress of mortality research, multi-population mortality modeling attracted the attention of researchers, and the multi-population forecasting models have been constantly developed and
improved, which play an important role in the mortality forecasting. With the continuous enrichment and innovation of mortality model research methods, new statistical methods (such as machine learning) have been applied in mortality modeling, and the accuracy of fitting and prediction has been improved. In addition to the extension of classical modeling methods, issues such as small-area population or missing data of the population, the elderly population, the related population mortality modeling are still worth studying. 相似文献
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The Dynamics of Stochastic Predator-prey Models
with Non-constant Mortality Rate and General
Nonlinear Functional Response 下载免费PDF全文
In this paper, we investigate the dynamics of stochastic predator-
prey models with non-constant mortality rate and general nonlinear functional
response. For the stochastic system, we firstly prove the existence of the global
unique positive solution. Secondly, we establish sufficient conditions for the
extinction and persistence in the mean of autonomous stochastic model and
obtain a critical value between them. Then by constructing a appropriate
Lyapunov function, we prove that there exists a unique stationary distribution
and it has ergodicity in the case of persistence. Finally, numerical simulations
are introduced to illustrate our theoretical results. 相似文献
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研究了动态面板数据模型的条件异方差性检验问题.对于n和T都很大的固定效应动态面板数据模型,通过残差的一阶差分的平方序列,建立一个人工自回归模型,并基于该人工自回归模型系数的最小二乘估计构造检验统计量,检验误差序列的条件异方差性.研究表明在一定的假设条件下,得到的检验渐近服从卡方分布,计算简单方便,通过一些模拟试验研究了检验的小样本性质.模拟研究表明该检验表现很好. 相似文献
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中国城市人口死亡率的预测 总被引:2,自引:0,他引:2
死亡率是随时间变动的具有不确定性的变量,基本养老保险的养老金给付必须考虑动态死亡率的影响,因此需要对中国城市人口的未来死亡率变动进行预测。针对部分年的中国城市分性别人口死亡率数据缺失的实际状况,本文运用死亡人数服从Poisson分布的Lee-Carter模型进行了预测,结果表明该模型的拟合较好。由上述预测得出,随时间的延续,中国城市人口的预期寿命将明显增加,为基本养老保险的支付带来严重的风险,该风险导致基本养老保险个人账户的收入远不足以支付未来的养老金,必须引起重视。本文就如何规避这一风险给出了一些政策建议。 相似文献
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死亡率预测是人口预测、长寿风险度量以及寿险公司产品定价和风险管理的基础。在死亡率预测模型中,Lee—Carter模型被广泛采用,但关于Lee-Carter模型的理论分布函数、期望和方差等分布特征,并没有专门的研究。本文在文献研究的基础上,对Lee-Carter模型进行了完整的理论研究,给出了完整的Lee-Carter模型理论分布和区间预测表达式,为相关研究提供了可靠的理论依据。同时,对传统的Lee-Carter预测区间估计方法和文中给出的区间预测估计方法进行了对比研究,发现使用传统Lee-Carter预测区间估计方法得到的预测区间较窄,对长寿风险存在低估,在预测时间较短时,这种低估更严重。 相似文献
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A research on the grey prediction model GM(1,n) 总被引:1,自引:0,他引:1
Tzu-Li Tien 《Applied mathematics and computation》2012,218(9):4903-4916
The grey theory can be applied in the research of prediction, decision-making and control, especially in prediction. The primary characteristic of a grey system is the incompleteness of information. A grey system could be whitened by way of inserting more messages in itself and its accuracy of prediction could be raised. The solution to the existing grey prediction model GM(1,n) is inaccurate and then its prediction accuracy cannot be expected. To solve the existing GM(1,n) by assuming step by step the first order accumulated generating operation data of the associated series to be constants is incorrect. The existing model GM(1,n) is seriously wrong even for a system having a nonnegative associated series with constant entries. There are currently only a few wrong papers based on the existing GM(1,n) model to be published. Almost all the improved prediction models based on the existing GM(1,n) model are correct. For example, the improved models are correct by convolution integral or fitting their forcing terms by several elementary functions. The algorithm of GMC(1,n) is applied to explain why the existing GM(1,n) model is incorrect in this article. 相似文献
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多个风险单元的集成度量是银行操作风险管理的关键步骤之一。立足于操作风险的“厚尾”、“截断”性,从分段损失分布法的视角出发,探讨操作风险集成度量的模式和数值方法。首先,引入两阶段损失分布法来拟合单个风险单元边际损失分布,用双截尾分布代替传统的完整分布来刻画“高频低损”损失数据的双截断特性,利用POT模型捕获“低频高损”事件的厚尾特性。再次,基于分段建模思路,对传统度量过程中边际分布为单一、完整分布的Copula模型进行了扩展,研究边际分布为分段分布、截尾分布条件下使用Copula函数集成度量操作风险的框架和步骤,并设计了Monte Carlo模拟算法。最后,以实证分析的形式验证所构建模型。通过对中国商业银行416个操作风险损失数据的实证分析,结果表明分段分布、截尾分布能对单个风险单元边际分布有更好的拟合效果,能减小由于分布选择不当而引发的模型风险。分段度量视角下Copula函数的引入能灵活处理多个操作风险单元间的相依结构,使风险度量结果更为合理。 相似文献
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研究了跳服从Erlang(n)分布,随机观察时服从指数分布的对偶风险模型.假设在边值策略下红利分发只在观察时发生,建立了红利期望贴现函数V(u;b)的微积分方程组.给出了当收益额服从PH(m)分布时V(u;b)的解析解.探讨了当收益额服从指数分布时V(u;b)的具体求解方法. 相似文献
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Heteroscedasticity and/or Autocorrelation Checks in Longitudinal Nonlinear Models with Elliptical and AR(1) Errors 总被引:1,自引:0,他引:1
The aim of this paper is to study the tests for variance heterogeneity and/or autocorrelation in nonlinear regression models with elliptical and AR(1) errors. The elliptical class includes several symmetric multivariate distributions such as normal, Student-t, power exponential, among others. Several diagnostic tests using score statistics and their adjustment are constructed. The asymptotic properties, including asymptotic chi-square and approximate powers under local alternatives of the score statistics, are studied. The properties of test statistics are investigated through Monte Carlo simulations. A data set previously analyzed under normal errors is reanalyzed under elliptical models to illustrate our test methods. 相似文献
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A note on geometric ergodicity of autoregressive conditional heteroscedasticity (ARCH) model 总被引:1,自引:0,他引:1
Zudi Lu 《Statistics & probability letters》1996,30(4):305-311
For the pth-order linear ARCH model, , where 0 > 0, i 0, I = 1, 2, …, p, {t} is an i.i.d. normal white noise with Et = 0, Et2 = 1, and t is independent of {Xs, s < t}, Engle (1982) obtained the necessary and sufficient condition for the second-order stationarity, that is, 1 + 2 + ··· + p < 1. In this note, we assume that t has the probability density function p(t) which is positive and lower-semicontinuous over the real line, but not necessarily Gaussian, then the geometric ergodicity of the ARCH(p) process is proved under Et2 = 1. When t has only the first-order absolute moment, a sufficient condition for the geometric ergodicity is also given. 相似文献
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In this paper, let m, n be two fixed positive integers and M be a right R-module, we define (m, n)-M-flat modules and (m, n)-coherent modules. A right R-module F is called (m, n)-M-flat if every homomorphism from an (n, m)-presented right R-module into F factors through a module in addM. A left S-module M is called an (m, n)-coherent module if MR is finitely presented, and for any (n, m)-presented right R-module K, Hom(K, M) is a finitely generated left S-module, where S = End(MR). We mainly characterize (m, n)-coherent modules in terms of preenvelopes (which are monomorphism or epimorphism) of modules. Some properties of (m, n)-coherent rings and coherent rings are obtained as corollaries. 相似文献
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Positive Periodic Solutions for a Single-species Model with Delay Weak Kernel and Cycle Mortality 下载免费PDF全文
In this paper, by using the Krasnoselskii''s fixed-point theorem, we study the existence of positive periodic solutions of the following single-species model with delay weak kernel and cycle mortality:
\begin{align*}
x''(t) = rx(t) \Big[1-\frac{1}{K}\int_{-\infty}^{t}\alpha e^{-\alpha(t-s)}x(s)ds\Big] -a(t)x(t),
\end{align*}
and get the necessary conditions for the existence of positive periodic solutions. Finally, an example and numerical simulation are used to illustrate the validity of our results. 相似文献