leecarter死亡率模型中死亡率指数的单位根检验

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1、UniversityofScienceandTechnologyofChinaAdissertationfordoctor。SdegreeTestingforaUnitRootinLee··CarterMortalityModelfortheMortalityIndexAuthor：XuanLengSpeciality：ProbabilityandStatisticsSupervisor：Prof．TaizhongHuProf．LiangPengFinishedTime：April，2016万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

2、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。保密的学位论文在解密后也遵守此规定。．嗽开，口保密

3、——年作者签名：导师签名：翅泰逸万方数据ABSTRACTABSTRACTLongevityriskistheriskthatactuallifespansofindividualsorofwholepopula-tionswillexceedexpectations．Inthelastfewdecades，lifeexpectancyhasconsiderablyincreased，andthishasobviousbenefits．However,therearefinancialcostsoflongerlifeexpectancy．Governmentsthatsponsorold-a

4、gesocialsecuritysystems，andinsurersthatsellannuitieswouldhavetopaybenefitslongerthananticipated．Unexpectedlongevitymayalsobeafinancialrisktoindividualswithoutguaranteedretirementbenefits．Inordertomanagelongevityrisksuccessfully,moreadvancedandaccuratetechniquesinmodeling，securitizationandregulation

5、shallbedeveloped．Understandingandfore—castingmortalitytrendarebasicandessentialinhedginglongevityrisk．SinceLeeandCarter(1992)describedtheirextrapolativemethodtomodelandforecastU．S．deathrates，ithasbecomethestandardmodelforthelongevityforecastliteratureandwidelyadoptedforlong·termforecastsofage-speci

6、ficmortalityrates．TheLee—Cartermortal-itymodelinvolvesatwo-stepestimationprocedure．EmpiricalfindingsfromusingtheLee—CartermodelanditsextensionspreferanARIMA(p，1，q)modelformodelingthedynamicsofthelogarithmsofmortalityrates，whichiscalledmortalityindexandisakeyelementinforecastingmortalityratesandmana

7、ginglongevityrisks．Chapter1servesasanintroduction．InChapter2，weunfortunatelyprovedthatthetwo·-stepinferenceprocedureinLeeandCarter(1992)mayleadtoawrongidenti·-ficationofthedynamicsofmortalityindexifitisnota