365bet体育官网数量经济与数理金融教育部重点实验室学术报告——Inference for Mortality Models
主 题: 365bet体育官网数量经济与数理金融教育部重点实验室学术报告——Inference for Mortality Models
报告人: Prof. Liang Peng (Georgia State University)
时 间: 2018-06-29 09:00-10:00
地 点: Room 1560, Sciences Building No. 1
Abstract: Although the Lee-Carter model has become a benchmark in modeling mortality rates and forecasting mortality risk, there exist some serious issues on its inference and interpretation in the literature of actuarial science. After pointing out these pitfalls and misunderstandings, we propose a modified Lee-Carter model, provide a sound statistical inference and derive the asymptotic distributions of the proposed estimators and unit root test when the mortality index is nearly integrated and errors in the model satisfy some mixing conditions. After a unit root hypothesis is not rejected, future mortality forecasts can be obtained via the proposed inference. An application of the proposed unit root test to US mortality rates rejects the unit root hypothesis for the female and combined mortality rates, but does not reject the unit root hypothesis for the male mortality rates.
Bio: Dr. Peng has been the Thomas P Bowles chair professor of actuarial science in the department of Risk Management and Insurance in the Robinson College of Business at Georgia State University since August 2014. He has published one book on heavy tailed data analysis and 140 papers in various journals in statistics, econometrics and actuarial science. He became an elected fellow of Institute of Mathematical Statistics in 2009 and an elected fellow of American Statistical Association in 2012.
