以Lee-Carter模型為基礎分析總體經濟對死亡率之影響

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Title:	以Lee-Carter模型為基礎分析總體經濟對死亡率之影響
Other Titles:	Factors on death trend-base on Lee-Carter model framework
Authors:	陳綉中;Chen, Shiou-Chung
Contributors:	淡江大學保險學系保險經營碩士班繆震宇;Miao, Chen-Yu
Keywords:	死亡率;長壽風險;mortality;Lee-Carter model;Longevity Risk
Date:	2013
Issue Date:	2014-01-23 13:42:37 (UTC+8)
Abstract:	長壽是一體兩面的事，一方面享受到壽命延長帶來的好處，但又同時面臨到風險，因為在老年時將會受到經濟及醫療的威脅。面臨長壽風險的現在，死亡率的預測變的重要，到底未來死亡率將如何變化，人類的壽命又會延長到怎樣的地步，我們希望藉由死亡率模型來解決，若是模型可以預測未來死亡率的趨勢，那就可以提前做好準備。由以往的文獻指出，死亡率會受到總體經濟因素波動，由研究中發現死亡率與GDP的成長和失業率息息相關，而Lee-Carter 模型可以預測死亡率，如果將之結合是否能提升模型預測能力，本研究的做法是找出影響各國之間的顯著經濟變數，之後再與加入含有死亡率指數kt的回歸，如果在有死亡率指數的回歸中仍有顯著的經濟因素，那表示在使用Lee-Carter模型或經濟模型時也必須考慮到當時的經濟環境。本研究採用20個OECD國家並以1960年到2009年及1970年到2009年為研究期間，因為時間序列資料特性，所以在資料定態後進行回歸，結果發現在死亡率指數下經濟變數與死亡率仍有顯著關係，發現研究中考慮的經濟變數如GDP成長率、失業率、勞動參與率、勞動工時皆對死亡率有顯著影響，本研究結果分為四類，其中研究對象中有一半的國家在加入死亡率指數kt後仍有顯著效果，表示Lee-Carter模型仍有需改進的空間，因為利用統計或精算的工具仍無法抓住總體經濟因素帶來的變動，本研究亦發現國家的高社會福利會使其死亡率不受經濟波動影響。結果建議在使用死亡率模型或做死亡率推估時仍需考慮總體經濟因素帶來的影響，這會幫助死亡率預測更加精準，也藉此希望能解決長壽風險帶來的問題。 There are two sides of same coin. On one hand, the extension of life is a good thing because we can enjoy our life longer. On the other hand, we also face longevity risk that we do not prepare enough money to afford living cost for extension life. Thus, to forecast mortality rate is a important thing because it can help us understand the longevity risk more accurately. From literature we can know that correlation between the mortality and macroeconomic fluctuations, and we can use Lee-Carter model forecasting future mortality. The purpose of this study is integrating these two factors to improve the mortality forecasting. In a first step, we investigate the relationship between mortality and change in marcoecomomic fluctuations. In second step, we investigate the the analysis including Lee-Carter mortality index kt and marcoecomomic fluctuations. Using data for twenty OECD countries over the period 1960-2009 and 1970-2009, this study finds that Lee-Carter model mortality index kt correlates significantly with marcoeconomic fluctuation, such as GDP、unemployment rate、participation rate、working hour. Furthermore, we also find that over half countries marcoeconomic are significant, even though the regression contain mortality index. We also find the mortality rate in some high social welfare countries have no significant correlation with macroeconomic fluctuations. The empirical result of this study suggests if we use model to forecast mortality rate, the macroeconomic factors should be involved in Lee-Carter model.
Appears in Collections:	[Graduate Institute & Department of Insurance Insurance] Thesis

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