Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Suitability of stochastic models for mortality projection in Korea: a follow-up discussion

  • Le, Thu Thi Ngoc (Department of Statistics and Actuarial Science, Soongsil University) ;
  • Kwon, Hyuk-Sung (Department of Statistics and Actuarial Science, Soongsil University)
  • Received : 2020.11.05
  • Accepted : 2021.02.04
  • Published : 2021.03.31
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Abstract

Due to an increased demand for longevity risk analysis, various stochastic models have been suggested to evaluate uncertainly in estimated life expectancy and the associated value of future annuity payments. Recently updated data allow us to analyze mortality for a longer historical period and extended age ranges. This study followed up previous case studies using up-to-date empirical data on Korean mortality and the recently developed R package StMoMo for stochastic mortality models analysis. The suitability of stochastic mortality models, focusing on retirement ages, was investigated with goodness-of-fit, validity of models, and ability of generating reasonable sets of simulation paths of future mortality. Comparisons were made across various types of models. Based on the selected models, the variability of important estimated measures associated with pension, annuity, and reverse mortgage were quantified using simulations.

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References

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