基于改进共同因子模型的死亡率预测模型

Mortality Prediction Model Based on Improved Common Factor Model

摘要: 人口死亡率的研究是与长寿风险相关的金融衍生品开发的理论依据，其研究的关键在于建立适合我国国情的死亡率模型，提高死亡率预测的准确性，考虑到中国人口死亡率数据较少且质量存在问题，仅使用我国死亡率数据建模不易得到好的预测结果。本文对共同因子模型进行改进创新，在其本身结构上加上经济项，并使用三个发展中国家和三个发达国家的历史死亡率数据进行拟合预测，结果表明，本文提出的新模型效果较好，弥补了仅依赖人口死亡率建模的缺点。

Abstract: The study of population mortality is the theoretical basis for the development of financial deriva-tives related to longevity risk, and the key to its research is to establish a mortality model suitable for China’s national conditions and improve the accuracy of mortality prediction. Considering the small amount and quality of China’s population mortality data, it is not easy to get good prediction results by modeling using only China’s mortality data. This paper improves and innovates the common factor model by adding an economic term to its own structure and fitting the prediction using historical mortality data from three developing countries and three developed countries, and the results show that the new model proposed in this paper works better and makes up for the shortcomings of relying only on population mortality modeling.