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

왜도 예측을 이용한 Lee-Carter모형의 사망률 예측

Lee, Hangsuck;Baek, Changryong;Kim, Jihyeon
이항석;백창룡;김지현

  • Received : 2015.10.27
  • Accepted : 2015.12.17
  • Published : 2016.02.29

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 ${\kappa}_t$. 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, ${\kappa}_t$. 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, ${\kappa}_t$. 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

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Acknowledgement

Supported by : 한국연구재단