無 / Existing literature has shown that force of mortality has amazing resemblance of interest rate. It is then tempting to extend existing model of interest rate model context to mortality modeling. We apply the model in Diebold and Li (2006) and other models that belong to family of yield rate model originally proposed by Nelson and Siegel (1987) to forecast (force of) mortality term structure. The fitting performance of extended Nelson-Siegel model is comparable to the benchmark Lee-Carter model. While forecasting performance is no better than Lee-Carter model in younger ages, it is at the same level in elder ages. The forecasting performance increases for 5-year ahead forecast is better than 1-year ahead comparing to Lee-Carter forecast. In the end, the forecast outperforms Lee-Carter model when age dimension is trimmed to age 20-100.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0963580151 |
| Creators | 宮可倫 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 英文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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