| Summary: | 碩士 === 東吳大學 === 財務工程與精算數學系 === 97 === The study of stochastic mortality model is getting more important due to the phenomenon of aging population and life expectancy increase. In this study, we investigate the CBD mortality model proposed by Cairns et. al. 2006 and consider the cohort effect under the CBD model. In order to examine the cohort effect, we analyze the mortality data from the counties of England, America, Japan and Taiwan based on the human mortality database. In addition, we make use of the econometric analysis to study the mortality forecasting by employing the vector autoregressive model. The longevity risk for annuity products is studied numerically.
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