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首页> 外文期刊>Journal of Statistical and Econometric Methods >Forecasting Chinese Mortality Based on the Long-run Equilibrium
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Forecasting Chinese Mortality Based on the Long-run Equilibrium

机译：基于长期均衡的中国死亡率预测

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Human mortality, which reflect the deaths’ extent, is one of the key research of Population Science and Population Economics. Accurately mortality forecasting can lay the foundation of pricing longevity risk bonds. Based on Lee-Carter model, this paper considers mortality correlations and investigates the long-run equilibrium of mortality rates between China mainland and Taiwan province for mortality forecasts. Differing from the traditional ARIMA model which is based on the limited data of China, the paper proposes a VECM model for the mortality time index forecasts after the co-integration test. Minimum mean square prediction errors (MSPE) is used for criteria, our results show that the forecasting based on the VECM model is better. Mortality rates under the multi-region framework can provide important reference for further study of pricing a multi-region longevity bonds.
机译：反映死亡程度的人类死亡率是人口科学和人口经济学的重点研究之一。准确的死亡率预测可以为寿命风险债券的定价奠定基础。基于Lee-Carter模型，本文考虑了死亡率相关性，并研究了中国大陆和台湾省之间的长期死亡率均衡以进行死亡率预测。与基于中国有限数据的传统ARIMA模型不同，本文提出了协整检验后的VECM模型，用于预测死亡率时间指数。将最小均方预测误差（MSPE）用作标准，我们的结果表明，基于VECM模型的预测更好。多区域框架下的死亡率可以为进一步研究多区域长寿债券的定价提供重要参考。

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