LeECarter死亡率型中死亡率指数的单位根检验.docx

University University of Science and Technology of China A dissertation for doctor。S degree Testing for a Unit Root in Lee··C arter Mortality Model for the Mortality Index Author：Xuan Leng Speciality： Probability and Statistics Supervisor： Prof．Taizhong Hu Prof．Liang Peng Finished Time： April，20 1 6 万方数据 中国科学技术大学学位论文原创性声明本人声明所呈交的学位论文，是本人在导师指导下进行研究工作所取得的成 中国科学技术大学学位论文原创性声明 本人声明所呈交的学位论文，是本人在导师指导下进行研究工作所取得的成 果。除已特别加以标注和致谢的地方外，论文中不包含任何他人已经发表或撰写 过的研究成果。与我一同工作的同志对本研究所做的贡献均已在论文中作了明 确的说明。 作者签名： 中国科学技术大学学位论文授权使用声明 作为申请学位的条件之一，学位论文著作权拥有者授权中国科学技术大学 拥有学位论文的部分使用权，即：学校有权按有关规定向国家有关部门或机构 送交论文的复印件和电子版，允许论文被查阅和借阅，可以将学位论文编入《中 国学位论文全文数据库》等有关数据库进行检索，可以采用影印、缩印或扫描等 复制手段保存、汇编学位论文。本人提交的电子文档的内容和纸质论文的内容相 一致。 必威体育官网网址的学位论文在解密后也遵守此规定。 嗽开， 口必威体育官网网址——年 作者签名： 导师签名：翅泰逸 万方数据 ABSTRACTABSTRACT ABSTRACT ABSTRACT Longevity risk is the risk that actual life spans of individuals or of whole popula- tions will exceed expectations．In the last few decades，life expectancy has considerably increased，and this has obvious benefits．However,there are financial costs oflonger life expectancy．Governments that sponsor old-age social security systems，and insurers that sell annuities would have to pay benefits longer than anticipated．Unexpected longevity may also be a financial risk to individuals without guaranteed retirement benefits．In order to manage longevity risk successfully,more advanced and accurate techniques in modeling，securitization and regulation shall be developed．Understanding and fore— casting mortality trend are basic and essential in hedging longevity risk．Since Lee and Carter(1992)described their extrapolative method to model and forecast U．S．death rates，it has become the standard model for the longevity forecast literature and widely adopted for long·term forecasts of age-specific mortality rates．The Lee—Carter mortal- ity model involves a two-step estimation procedure．Empirical findings from using the Lee—Carter model and its extensions prefer an ARIMA(p，1，q)model for modeling the dynamics of the logarithm