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http://dx.doi.org/10.5351/KJAS.2016.29.1.041

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

Lee, Hangsuck (Department of Actuarial Science/Mathematics, Sungkyunkwan University)
Baek, Changryong (Department of Statistics, Sungkyunkwan University)
Kim, Jihyeon (Long-term Insurance Team, MG Non-Life Insurance)
Publication Information
The Korean Journal of Applied Statistics / v.29, no.1, 2016 , pp. 41-59 More about this Journal
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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Times Cited By KSCI : 2  (Citation Analysis)
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