• The Korean Journal of Applied Statistics
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• v.28 no.3
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• pp.393-406
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• 2015

We examine how to model mortality risk using the adaptation of the mean-reverting processes for the two factor model proposed by Cairns et al. (2006b). Mortality improvements have been recently observed in some countries such as United Kingdom; therefore, we assume long-run mortality converges towards a trend at some unknown time and the mean-reverting processes could therefore be an appropriate stochastic model. We estimate the parameters of the two-factor model incorporated with mean-reverting processes by a Metropolis-Hastings algorithm to fit United Kingdom mortality data from 1991 to 2015. We forecast the evolution of the mortality from 2014 to 2040 based on the estimation results in order to evaluate the issue price of a longevity bond of 25 years maturity. As an application, we propose a method to quantify the speed of mortality improvement by the average mean reverting times of the processes.

• Journal of the Korean Data and Information Science Society
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• v.28 no.2
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• pp.271-286
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• 2017

The objective of this paper is to evaluate whether longevity risk is properly managed in Korean life insurance industry by measuring longevity risk in the viewpoint of natural hedge. According to analysis, the sum of the reserve of annuity and that of whole life insurance appears to decrease in the case both reserve of annuity and whole life insurance are shocked by same degree and also the mortality rate of the aged policyholders is improved faster than that of the less aged policyholders. Although the sum of the reserves increases only when the mortality improvement of annuity policyholders is higher than that of whole life insurance policyholders by two times, more than 60% of reserve increase of annuity is found to be offset by natural hedge. Thus, it is judged that the longevity risk of Korea life insurance industry is properly managed by natural hedge.

• The Korean Journal of Applied Statistics
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• v.34 no.3
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• pp.347-373
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• 2021

Over the past 50 years, explorative research on the nation's mortality decline patterns has showed a decrease in age-specific mortality rates in all age groups, but there were different improvement patterns in specific mortality rates depending on ages and periods. Greater distinct improvement was observed in mortality rates among women than men, and there was a noticeable improvement in mortality rates in certain groups especially in the more recent decades, revealing a structural change in the overall trends regarding death periods. In this paper, we compare various stochastic mortality models considering cohort effects for mortality projection using Korean female mortality data and further explore the uncertainty related to projection. It also created age-specific mortality rates and life expectancy for women until 2067 based on the results of the analysis, and compared them with future age-specific mortality rates and life expectancy provided by the national statistical office (KOISIS). The best optimal model could vary depending on data usage periods. however, considering the overall fit and predictability, the PLAT model would be regarded to have appropriate predictability in terms of the mortality rates of women in South Korea.

• The Korean Journal of Applied Statistics
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• v.29 no.1
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• pp.41-59
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• 2016

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.

• The Korean Journal of Applied Statistics
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• v.31 no.1
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• pp.77-96
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• 2018

A reverse mortgage provides a pension until the death for the insured or last survivor. Long-term risk management is important to estimate the contractual period of a reverse mortgage. It is also necessary to study prediction methods of mortality rates that appropriately reflect the improvement trend of the mortality rate since the extension of the life expectancy, which is the main cause of aging, can have a serious impact on the pension financial soundness. In this study, the Lee-Carter (LC) model reflects the improvement in mortality rates; in addition, multiple life model are also applied to a reverse mortgage. The mortality prediction method by the traditional LC model has shown a dramatic improvement in the mortality rate; therefore, this study suggests mortality projection based on the projection of the skewness for the mortality that has been applied to appropriately reflect the improvement trend of the mortality rate. This paper calculates monthly payments using future mortality rates based on the projection of the skewness of the mortality. As a result, the mortality rates based on this method less reflect the mortality improvement effect than the mortality rates based on a traditional LC model and a larger pension amount is calculated. In conclusion, this method is useful to forecast future mortality trend results in a significant reduction of longevity risk. It can also be used as a risk management method to pay appropriate monthly payments and prevent insufficient payment due to overpayment by the issuing institution and the guarantee institution of the reverse mortgage.

• Journal of Digital Convergence
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• v.11 no.5
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• pp.371-384
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• 2013

The purpose of this study was to develop the risk-adjusted mortality model using Korean Hospital Discharge Injury data and US National Hospital Discharge Survey data and to suggest some ways to manage hospital mortality rates through comparison of Korea and United States Hospital Standardized Mortality Ratios(HSMR). This study used data mining techniques, decision tree and logistic regression, for developing Korea and United States risk-adjustment model of in-hospital mortality. By comparing Hospital Standardized Mortality Ratio(HSMR) with standardized variables, analysis shows the concrete differences between the two countries. While Korean Hospital Standardized Mortality Ratio(HSMR) is increasing every year(101.0 in 2006, 101.3 in 2007, 103.3 in 2008), HSMR appeared to be reduced in the United States(102.3 in 2006, 100.7 in 2007, 95.9 in 2008). Korean Hospital Standardized Mortality Ratios(HSMR) by hospital beds were higher than that of the United States. A two-aspect approach to management of hospital mortality rates is suggested; national and hospital levels. The government is to release Hospital Standardized Mortality Ratio(HSMR) of large hospitals and to offer consulting on effective hospital mortality management to small and medium hospitals.

• Korea journal of population studies
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• v.35 no.1
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• pp.101-130
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• 2012

This study examines mortality change in North Korea and its association with state production and welfare systems. Two main subjects are analyzed. The first theme is to examine the reliability of mortality related data released by North Korea government authorities. Examining inner consistencies among mortality related statistics and comparing with mortality trends in other socialist societies, the study finds that mortality rate was under estimated. Under-estimation of mortality by North Korean authorities is regarded to result not only from political purpose which aims to propagate the regime's superiority but also from enumeration errors of vital statistics based on the residence registration. The second theme is to estimate the change in mortality of North Korean people since the establishment of DPRK, correcting errors of mortality data. Mortality of North Korean people is estimated to have improved largely by the early 1970s, to have been sluggish hereafter, and finally to have increased during the economic hardship period between 1993 and 2008. While large people died during the food crisis in the late 1990s, however the population loss caused by mortality increase was not so great as the proposition of the huge starvation was expected. It is partly because population turbulence occurred not just by mortality increase, rather it has progressed in the joint effects of fertility decline and exodus of North Korean people for food. It is also due to North Korean people's voluntary activities of informal economy. It is also worth noting the high mortality rate of North Korean men. The high mortality of North Korean men is likely due to men's mobilization for long time in army and labor with high risk of accident and their life styles.

• The Korean Journal of Applied Statistics
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• v.31 no.5
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• pp.637-653
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• 2018

Rapid aging of the population affects population structure and population aging. Consequently, developed countries have focused on population aging as a major issue in regards to pension sustainability finances as well as health and the elderly welfare system. Mortality projections that result from population structure changes and population aging are increasingly important. This paper compares six mortality models using KOSTAT's life table from 1970 to 2016. The models are rooted in the Lee-Carter (LC) model (Lee and Carter, Journal of the American Statistical Association, 87, 659-671, 1992) and have been modified and improved on the assumptions of the LC model. We examined the improvement process and the check assumption by models in order to find a suitable mortality model for Korea. Korea shows rapid aging and declined mortality rate by age; therefore, it is desirable to estimate and predict mortality from LL&LC-ER models by combining LC-ER, LL, and LC-ER models that reflect the phenomena and modify age-specific mortality patterns without major changes in expected life expectancy.

• Proceedings of the Korea Information Processing Society Conference
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• 2024.05a
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• pp.567-568
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• 2024

이 연구는 통계청의 치매 사망자수 및 사망률 자료와 공공데이터포털의 서울시 치매안심센터를 분석하여 치매 문제에 초점을 맞추어 치매 환자와 그 가족들에게 지원을 제공하는 치매안심센터의 역할을 조명합니다. 연구 목적은 서울시 각 자치구에 설치된 치매안심센터의 자원과 인프라가 치매 사망률에 미치는 영향을 분석하여, 치매 예방 및 관리 정책의 개선 방향을 제시하는 것입니다. 데이터는 한국통계정보원(KOSIS)과 사망원인통계에서 수집되었으며, 2022 년에 보고된 치매로 인한 사망자 수와 치매관리센터의 자원 정보를 포함합니다. 데이터 전처리 과정에서는 정확성 검증, 정규화, 표준화, 분류 작업이 이루어졌습니다.분석 방법으로는 통계적 접근과 예측 모델링을 통해 치매 치료 센터 자원과 치매 사망률의 관계를 다각적으로 조사했습니다. 본 연구의 결론은 치매 안심 센터의 자원이 치매 사망률에 미치는 영향을 이해하는 데 중요한 정보를 제공하며, 이는 치매 관리와 예방에 있어서 인력의 중요성을 강조합니다.

• Proceedings of the KSCN Conference
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• 2004.05a
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• pp.420-421
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• 2004

심혈관계 질환은 선진국에서 가장 중요한 사망원인이며, 특히 관상동맥 질환은 심혈관계 질환으로 인한 사망의 50% 이상을 차지하고 있다. 미국에서는 National Cholesterol Education Program(NCEP)을 통해 관상동맥질환의 예방 및 치료를 위한 식생활 지침을 마련하여 꾸준히 시행한 결과, 관상동맥질환으로 인한 사망률을 40% 가량 감소시키는 결과를 가져왔다. 그러나, 우리나라는 최근 10년간 관상동맥질환으로 인한 사망률이 1.8배 증가하는 양상을 보이고 있음에도 불구하고 관상동맥질환 예방을 위한 대국민적인 식생활 개선에 대한 기준이 미비한 실정이다.(중략)