[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.29220/CSAM.2019.26.6.557

Analysis of cause-of-death mortality and actuarial implications

Kwon, Hyuk-Sung (Department of Statistics and Actuarial Science, Soongsil University)
Nguyen, Vu Hai (Department of Statistics and Actuarial Science, Soongsil University)

Publication Information

Communications for Statistical Applications and Methods / v.26, no.6, 2019 , pp. 557-573 More about this Journal

Abstract

Mortality study is an essential component of actuarial risk management for life insurance policies, annuities, and pension plans. Life expectancy has drastically increased over the last several decades; consequently, longevity risk associated with annuity products and pension systems has emerged as a crucial issue. Among the various aspects of mortality study, a consideration of the cause-of-death mortality can provide a more comprehensive understanding of the nature of mortality/longevity risk. In this case study, the cause-of-mortality data in Korea and the US were analyzed along with a multinomial logistic regression model that was constructed to quantify the impact of mortality reduction in a specific cause on actuarial values. The results of analyses imply that mortality improvement due to a specific cause should be carefully monitored and reflected in mortality/longevity risk management. It was also confirmed that multinomial logistic regression model is a useful tool for analyzing cause-of-death mortality for actuarial applications.

Keywords

actuarial model; annuity; cause-of-death mortality; life insurance; longevity risk; mortality risk; multinomial logistic regression model;

Citations & Related Records

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