Speaker：Prof. Liang Peng

                        Georgia State University

       Title:    Statistical inference for mortality model risk allocation

       Time：10 July 2019, 14:30

Location：Conference Room 110 at Experiment Building at Haiyun Campus

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.