加入出生年效应的死亡率预测及其在年金系数估计中的应用  

Mortality Prediction with Birth-year Effect and Its Application in Annuity Factor Estimate

作　　者：黄顺林[1,2] 王晓军[1] 

机构地区：[1]中国人民大学统计学院,北京100872 [2]南京财经大学应用数学学院,江苏南京210046

出　　处：《统计与信息论坛》2010年第5期81-86,共6页Journal of Statistics and Information

基　　金：国家自然科学基金项目<中国企业年金发展模式研究-DB型企业年金的设计;管理与监督>(70573118)

摘　　要：人口死亡率下降与寿命的延长已经成为全球性的趋势。运用基于出生年效应的Lee-Carter模型对中国男性人口死亡率数据进行拟合,通过模型残差比较,发现该模型拟合效果更优。根据模型预测,发现中国男性人口的预期寿命随时间逐渐增加,但增加的幅度逐渐减少。将死亡率预测结果用于养老年金系数的估计,发现中国现行城镇职工养老保险个人账户的年金系数被严重低估,这将在未来给基本养老保险个人帐户带来很大的偿付压力。Mortality reduction and longevity have become a global trend.A cohort-based extension to the Lee-Carter model was fitted and projected for mortality data of the male population in China.The comparison of the residuals shows that the model fits better.The results of projection show that the life expectancies of the male population will increase,but the extent of increase reduced gradually.Then the results of mortality prediction are applied to the annuity factor estimate and find that the current annuity factors of the individual accounts of old-age insurance for urban workers in China were seriously underestimated.Finally we give some relevant policy suggestions.

关 键 词：Lee-Carter模型 出生年效应 年金 

分 类 号：F840.67[经济管理—保险] O212[理学—概率论与数理统计]