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題名：Lee-Carter模型下死亡率預測之改善與其在確定提撥制退休金的應用
書刊名：管理評論
作者：黃泓智 引用關係／李永琮
作者(外文)：Huang, Hong-chih／Lee, Yung-tsung
出版日期：2015
卷期：34:4
頁次：頁1-21+95-111
主題關鍵詞：Lee-Carter模型；時間修正；確定提撥制；資產配置；Lee-Carter model；Time adjustment；Defined contribution；Asset allocation
原始連結：連回原系統網址new window
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長命風險是現代人所面臨的重大議題，而準確的預測死亡率是能夠有效管理長命風險的關鍵因素之一。Lee-Carter模型（Lee and Carter 1992）是最被廣泛應用以及討論的死亡率模型，然而，在參數配適過程當中，使用者往往假設對數死亡率的改善速度是固定的，沒有捕捉到改善速度隨著時間變化的現象。本研究提出利用時間加權估計模型參數，以捕捉死亡率改善趨勢的變化，並提升Lee-Carter模型的預測能力。我們並探討在確定提撥退休金制度下，死亡率預測方法的差異對於資產配置的影響；在固定的提撥率以及考慮死亡率的改善速度下，個人必需進行更積極的資產配置以滿足退休後所需要的資金需求。
Accurately predicting mortality is central in reducing longevity risk. Among various mortality models, the Lee-Carter model (Lee and Carter 1992) is the most popular and has been widely applied and discussed. One criticism of the Lee-Carter model is that it assumes a fixed rate of decline (improvement) in the logarithm of mortality rates when using the common singular value decomposition (SVD) approach, and does not capture the trend of mortality improvements over time. This study proposes using a time adjustment weight to enhance the prediction performance of the Lee-Carter model, and to capture the trend of mortality improvements. Additionally, we examine the effect of different mortality predicttion methods on the optimal asset allocation for a Defined Contribution pension plan. For a given contribution rate, an aggressive investment strategy is appropriate when considering the trend of mortality improvements.
期刊論文
1.Vigna, Elena、Haberman, Steven(2001)。Optimal Investment Strategy for Defined Contribution Pension Schemes。Insurance: Mathematics and Economics，28(2)，233-262。  new window
2.Deelstra, Griselda、Grasselli, Martino、Koehl, Pierre-François(2003)。Optimal Investment Strategies in the Presence of a Minimum Guarantee。Insurance: Mathematics and Economics，33(1)，189-207。  new window
3.Bédard, Diane(1999)。Stochastic Pension Funding: Proportional Control and Bilinear Processes。ASTIN Bulletin，29(2)，271-293。  new window
4.Bédard, Diane、Dufresne, Daniel(2001)。Pension Funding with Moving Average Rates of Return。Scandinavian Actuarial Journal，2001(1)，1-17。  new window
5.David, Blake、Cairns, Andrew J. G.、Dowd, Kevin(2007)。The Impact of Occupation and Gender on Pensions from Defined Contribution Plans。Geneva Papers on Risk and Insurance--Issues and Practice，32(4)，458-482。  new window
6.Cairns, Andrew J. G.、Blake, David、Dowd, Kevin(2008)。Modelling and Management of Mortality Risk: A Review。Scandinavian Actuarial Journal，2008(2/3)，79-113。  new window
7.D'Amato, Valeria、Haberman, Steven、Piscopo, Gabriella、Russolillo, Maria(2012)。Modelling Dependent Data for Longevity Projections。Insurance: Mathematics and Economics，51(3)，694-701。  new window
8.Devolder, Pierre、Princep, Manuela Bosch、Fabian, Inmaculada Dominguez(2003)。Stochastic Optimal Control of Annuity Contracts。Insurance: Mathematics and Economics，33(2)，227-238。  new window
9.Haberman, Steven(1997)。Stochastic Investment Return and Contribution Rate in a Defined Benefit Pension Scheme。Insurance: Mathematics and Economics，19(2)，127-139。  new window
10.Haberman, Steven、Butt, Zoltan、Megaloudi, Chryssoula(2000)。Contribution and Solvency Risk in a Defined Benefit Pension Scheme。Insurance: Mathematics and Economics，27(2)，237-259。  new window
11.Haberman, Steven、Vigna, Elena(2002)。Optimal Investment Strategy and Risk Measures in Defined Contribution Pension Schemes。Insurance: Mathematics and Economics，31(1)，35-69。  new window
12.Hainaut, Donatien、Devolder, Pierre(2007)。Management of a Pension Fund under Mortality and Financial Risks。Insurance: Mathematics and Economics，41(1)，134-155。  new window
13.Huang, Hong-Chih、Lee, Yung-Tsung(2010)。Optimal Asset Allocation for a General Portfolio of Life Insurance Policies。Insurance: Mathematics and Economics，46(2)，271-280。  new window
14.Janssen, Fanny、Kunst, Anton(2007)。The Choice among Past Trends as a Basis for the Prediction of Future Trends in Old-Age Mortality。Population Studies，61(3)，315-326。  new window
15.O'Hare, Colin、Li, Youwei(2012)。Explaining Young Mortality。Insurance: Mathematics and Economics，50(1)，12-25。  new window
16.Perry, David、Stadje, Wolfgang、Yosef, Rami(2003)。Annuities with Controlled Random Interest Rates。Insurance: Mathematics and Economics，32(2)，245-253。  new window
17.Romaniuk, Katarzyna(2007)。The Optimal Asset Allocation of the Main Types of Pension Funds: A Unified Framework。Geneva Risk and Insurance Review，32(2)，113-128。  new window
18.Wang, Chou-Wen、Huang, Hong-Chih、Liu, I-Chien(2011)。A Quantitative Comparison of the Lee-Carter Model under Different Types of Non-Gaussian Innovations。The Geneva Papers on Risk and Insurance--Issues and Practice，36(4)，675-696。  new window
19.Yang, Sharon S.、Huang, Hong-Chih(2009)。The Impact of Longevity Risk on the Optimal Contribution Rate and Asset Allocation for Defined Contribution Pension Plans。Geneva Papers on Risk and Insurance- Issues and Practice，34(4)，660-681。  new window
20.Battocchio, Paolo、Menoncin, Francesco(2004)。Optimal Pension Management in a Stochastic Framework。Insurance: Mathematics and Economics，34(1)，79-95。  new window
21.Blake, David、Cairns, Andrew J. G.、Dowd, Kevin(2001)。Pensionmetrics: Stochastic Pension Plan Design and Value-at-risk During the Accumulation Phase。Insurance: Mathematics and Economics，29(2)，187-215。  new window
22.Boulier, Jean-François、Huang, Shao-Juan、Taillard, Grégory(2001)。Optimal Management under Stochastic Interest Rates: The Case of a Protected Defined Contribution Pension Fund。Insurance: Mathematics and Economics，28(2)，173-189。  new window
23.Cairns, Andrew J. G.、Parker, Gary(1997)。Stochastic Pension Fund Modeling。Insurance: Mathematics and Economics，21(1)，43-79。  new window
24.Haberman, Steven(1994)。Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme。Insurance: Mathematics and Economics，14(3)，219-240。  new window
25.Huang, Hong-Chih、Cairns, Andrew J. G.(2006)。On the Control of Defined-Benefit Pension Plans。Insurance: Mathematics and Economics，38(1)，113-131。  new window
26.Lin, Yijia、Cox, Samuel H.(2005)。Securitization of Mortality Risks in Life Annuities。Journal of Risk and Insurance，72(2)，227-252。  new window
27.Cairns, Andrew J. G.、Blake, David、Dowd, Kevin(2006)。A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration。Journal of Risk and Insurance，73(4)，687-718。  new window
28.Cairns, Andrew J. G.、Blake, David、Dowd, Kevin、Coughlan, Guy D.、Epstein, David、Ong, Alen、Balevich, Igor(2009)。A Quantitative Comparison of Stochastic Mortality Models Using Data from England and Wales and the United States。North American Actuarial Journal，13(1)，1-35。  new window
29.Lee, Ronald D.、Carter, Lawrence R.(1992)。Modeling and Forecasting U.S. Mortality。Journal of the American Statistical Association，87(419)，659-671。  new window
30.Yang, Sharon S.、Yue, Jack C.、Huang, Hong-Chih(2010)。Modeling Longevity Risks Using a Principal Component Approach: A Comparison with Existing Stochastic Mortality Models。Insurance: Mathematics and Economics，46(1)，254-270。  new window
31.Lee, Ronald D.(2000)。The Lee-Carter method for forecasting mortality, with various extensions and applications。North American Actuarial Journal，4(1)，80-93。  new window
32.Gerrard, Russell、Haberman, Steven、Vigna, Elena(2004)。Optimal Investment Choices Post-retirement in a Defined Contribution Pension Scheme。Insurance: Mathematics and Economics，35(2)，321-342。  new window
研究報告
1.Wilmoth, John R.(1993)。Computational Methods for Fitting and Extrapolating The Lee-Carter Model of Mortality Change。Berkeley：Department of Demography, University of California。  new window
2.Wilmoth, John R.(2005)。Overview and Discussion of the Social Security Mortality Projections。Berkeley：Department of Demography, University of California。  new window
3.Continuous Mortality Investigation Bureau(1999)。Standard Tables of Mortality Based on the 1991-1994 Experiences。UK：The Institute and Faculty of Actuaries。  new window
圖書
1.Campbell, John Y.、Viceira, Luis M.(2002)。Strategic Asset Allocation: Portfolio Choice for Long-term Investors。New York：Oxford University Press。  new window
其他
1.Shkolnikov, Vladimir，Barbieri, Magali，Wilmoth, John(20150721)。Human Mortality Database，http://www.mortality.org， 2007/11/26。  new window
 
 
 
 
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