英文摘要 |
We introduce a curve-fitting model to reduce the dimension of age parameters and allow additional degrees of freedom to be used for the period effect. Large-scale comparisons are carried out against the benchmark Lee-Carter model. The results reveal robust improvements in forecasting accuracy across 23 sampled countries. Our approach is superior in 96 percent of male cases and 88 percent of female cases, with an average RMSE improvement of 14.8 percent and 8.4 percent respectively. The panel Diebold-Mariano test indicates that these improvements are significant. The application in insurance pricing suggests the forecasting model has significant impact on annuity price. |