Zhang, Ying - A Multi-Dimensional Bühlmann Credibility Approach to Modeling Multi-Population Mortality Rates...

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This project has been submitted to the Library for purposes of graduation, but needs to be audited for technical details related to publication in order to be approved for inclusion in the Library collection.
Term: 
Summer 2017
Degree: 
M.Sc.
Degree type: 
Project
Department: 
Department of Statistics and Actuarial Science
Faculty: 
Science
Senior supervisor: 
Cary Chi-Liang Tsai
Thesis title: 
A Multi-Dimensional Bühlmann Credibility Approach to Modeling Multi-Population Mortality Rates
Given Names: 
Ying
Surname: 
Zhang
Abstract: 
In this project, we first propose a multi-dimensional Bühlmann credibility approach to forecasting mortality rates for multiple populations, and then compare forecasting performances among the proposed approach and the joint-k/co-integrated/augmented common factor Lee-Carter models. The model is applied to mortality data of the Human Mortality Database for both genders of three well-developed countries with an age span and a wide range of fitting year spans. Empirical illustrations show that the proposed multi-dimensional Bühlmann credibility approach contributes to more accurate forecast results, measured by MAPE (mean absolute percentage error), than those based on the Lee-Carter model.
Keywords: 
Bühlmann Credibility Theory; Lee-Carter Model; Mortality Model
Total pages: 
71