Statistical inference for mortality model and risk allocation

：Prof. Liang Peng
：2019-07-10 14:30
：实验楼110

       Speaker：Prof. Liang Peng

                        Georgia State University

       Title:    Statistical inference for mortality model risk allocation

       Time：10 July 2019, 14:30

Location：实验楼110

Abstract:  After revisiting the well-known Lee-Carter mortality model in forecasting mortality risk hedging longevity risk, we propose a modified Lee-Carter model to overcome the possible inconsistent two-step inference proposed by Lee Carter (1992). Unit root test, mortality forecast bias corrected inference are provided too. Another topic is on risk or capital allocation, where a new allocation rule based on Value-at-Risk is proposed estimated nonparametrically at the standard rate of convergence. In order to efficiently quantify the uncertainty, a residual based bootstrap method is proposed to combine with AR-GARCH models.

Speaker  Introduction： Professor Peng is the Thomas Bowles chair in actuarial science in the department of risk management insurance at Georgia State University. His research interests include actuarial science, risk management, financial econometrics statistics. Currently he is an associate editor of JASA Statistica Sinica. Peng is a follow of the American Statistical Association a fellow of the institute of mathematical statistics.

 

        联系人：王海斌教授