预测死亡人数的年龄分布：年金定价的应用
Forecasting age distribution of death counts: An application to annuity pricing
摘要：
我们考虑一个组成数据分析方法来预测死亡人数的年龄分布。使用从人类死亡率数据库中获得的澳大利亚特定年龄段生命表死亡计数，组成数据分析方法比Lee-Carter方法、Hyndman-Ullah方法和两种朴素随机游动方法产生更准确的1 - 20步提前点和区间预测。人口统计学家对提高时期寿命表死亡人数的预测准确性估计生存概率和预期寿命，精算师对确定不同年龄和期限的临时年金价格非常感兴趣。虽然我们关注的是临时年金价格，但我们考虑的是长期合同，这些合同使年金几乎是终身的，特别是当进入时的年龄足够高时。
英文摘要：
We consider a compositional data analysis approach to forecasting the age distribution of death counts. Using the age-specific period life-table death counts in Australia obtained from the Human Mortality Database, the compositional data analysis approach produces more accurate one- to 20-step-ahead point and interval forecasts than Lee-Carter method, Hyndman-Ullah method, and two naïve random walk methods. The improved forecast accuracy of period life-table death counts is of great interest to demographers for estimating survival probabilities and life expectancy, and to actuaries for determining temporary annuity prices for various ages and maturities. Although we focus on temporary annuity prices, we consider long-term contracts which make the annuity almost lifetime, in particular when the age at entry is sufficiently high.
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