碩士 / 逢甲大學 / 統計與精算所 / 100 / The improvement of the mortality rates is significant in recent decades in Taiwan. However, how to accurate predict the future mortality rate is important for the life insurance companies. In this paper, we extend the idea of Hwang and Huang (2012) to modify the logistic model proposed by Thatcher (1999) and Bongaarts (2005). Moreover, we apply this modified logistic mortality model on fitting and forecasting the mortality data of both gender in Taiwan which is collected from the Human Mortality Database. The empirical result show that predictive ability of modify logistic model is better than Lee-Carter model but slightly ability is lower than Lee-Carter model.
On the other hand, the uncertainty of mortality improvement is large and the life insurers could apply the nature hedge strategy to hedge the longevity risk. In this paper, we introduce the K-ratio of Wang et al. (2010) to calculate the optimal product to hedge the longevity risk. Under the modified logistic model, the optimal product portion of life insurance policy is higher than the Lee-Carter model. This is because that the expected future mortality rates of modified logistic model is lower than the Lee-Carter model.
| Identifer | oai:union.ndltd.org:TW/100FCU05336019 |
| Date | January 2012 |
| Creators | Cheng-heng Lee, 李政衡 |
| Contributors | none, 黃雅文 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 45 |
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