長壽風險模型之建構與應用;A Study of Longevity Risk Modeling and It$S Application

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题名:	長壽風險模型之建構與應用;A Study of Longevity Risk Modeling and It$S Application
作者:	楊曉文
贡献者:	國立中央大學財務金融學系
关键词:	財政（含金融;保險）
日期:	2012-12-01
上传时间:	2014-03-17 14:05:28 (UTC+8)
出版者:	行政院國家科學委員會
摘要:	研究期間：10108~10207;Human life expectancy has been increasing significantly since the start of the 20th century. Longevity risk is the tendency of individuals to live longer and longer. Due to the mortality improvement, longevity risk has been recognized as one of the significant risks for pension and annuity providers. To deal with longevity risk, how to model the dynamics of mortality rates is very critical. In this research, we attempt to deal with three research topics in the proposed three-year research projects. In year one, we deal with the “Panel Co-integration Analysis of Mortality Modeling”. Mortality improvement has showed a time trend in mortality rates. The use of co-integration techniques to test for the presence of long-run relationships among integrated variables has enjoyed growing popularity in the empirical literature. The first purpose of this research is to make use of the panel cointegration analysis to identify the effects of mortality improvement that cannot be detected in simple time series or cross-sectional data. In year two, we investigate the “Mortality Modeling under Mortality dependence: Selection of Copulas Models”. In the literature, most of the mortality models are assumed mortality independence in mortality modeling. Thus, one of the purposes of this project is to investigate the mortality dependence using copula approach. In year three, we extend the mortality modeling for “Analysis of Longevity Risk for Joint-Life Reverse Mortgage Scheme”. Due to the population becomes aging, the reverse mortgage products appear to offer important consumption benefits to the elderly. Modeling the future dynamics of mortality rates has great effects on valuing reverse mortgage products. Thus, we consider previous mortality study on mortality dependence to analyze longevity risk for reverse mortgage products.
關聯:	財團法人國家實驗研究院科技政策研究與資訊中心
显示于类别:	[財務金融學系] 研究計畫

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