A modified Lee-Carter model based on the projection of the skewness of the mortality

Title & Authors
A modified Lee-Carter model based on the projection of the skewness of the mortality
Lee, Hangsuck; Baek, Changryong; Kim, Jihyeon;

Abstract
There have been continuous improvements in human life expectancy. Life expectancy is as a key factor in an aging population and can wreak severe damage on the financial integrity of pension providers. Hence, the projection of the accurate future mortality is a critical point to prevent possible losses to pension providers. However, improvements in future mortality would be overestimated by a typical mortality projection method using the Lee-Carter model since it underestimates the mortality index $\small{{\kappa}_t}$. This paper suggests a mortality projection based on the projection of the skewness of the mortality versus the typical mortality projection of the Lee-Carter model based on the projection of the mortality index, $\small{{\kappa}_t}$. The paper shows how to indirectly estimate future t trend with the skewness of the mortality and compares the results under each estimation method of the mortality index, $\small{{\kappa}_t}$. The analysis of the results shows that mortality projection based on the skewness presents less improved mortality at an elderly ages than the original projection.
Keywords
Lee-Carter model;Longevity risk;the projection of future mortality;the mortality index;skewness;
Language
Korean
Cited by
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