• Communications for Statistical Applications and Methods
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• v.26 no.6
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• pp.557-573
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• 2019

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.

• East Asian mathematical journal
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• v.35 no.3
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• pp.305-318
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• 2019

Over the past decades, the Lee-Carter model [1] has attracted much attention from various demography-related fields in order to project the future mortality rates. In the Lee-Carter model, the speed of mortality improvement is stochastically modeled by the so-called mortality index and is used to forecast the future mortality rates based on the time series analysis. However, the modeling is applied to long time series and thus an important structural change might exist, leading to potentially large long-term forecasting errors. Therefore, in this paper, we are interested in detecting the structural change of the Lee-Carter model and investigating the actuarial implications. For the purpose, we employ the tests proposed by Coelho and Nunes [2] and analyze the mortality data for six countries including Korea since 1970. Also, we calculate life expectancies and whole life insurance premiums by taking into account the structural change found in the Korean male mortality rates. Our empirical result shows that more caution needs to be paid to the Lee-Carter modeling and its actuarial applications.

• Communications for Statistical Applications and Methods
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• v.28 no.6
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• pp.611-626
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• 2021

Marital status has been identified as an important risk factor affecting adult mortality. Many studies have found that marriage has positive effects on mortality and increases life expectancy. Since most pension contracts providing retirement income are provided to married couples, mortality assumption for actuarial valuation based on the entire population is likely to overestimate the actual mortality of the group of beneficiaries specified in the contracts. This study considered the differences in mortality according to marital status to analyze the length and value of the payments of a typical pension contract for a married couple. The study quantified the effect on actuarial measurements of considering marital status in mortality assumptions with a multi-state model framework using Korean experience mortality data organized by marital status. The results of analysis indicate that considering marital status in mortality assumptions improves mortality risk management.

• Communications for Statistical Applications and Methods
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• v.27 no.1
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• pp.79-95
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• 2020

The globalization of financial markets has broadened investment opportunities. International investors' investment portfolios consist of financial instruments from various countries; consequently, the risks associated with economic dependence among countries should be carefully considered. Step-down equity-linked securities (ELS) are a structured financial product that have recently become popular among Korean investors. Payoffs are based on two or three stock indices from different regions; therefore, dependence between the indices should be reflected in the risk analysis. In this study, we consider a regime-switching copula model to describe the joint behavior of two stock indices- the Eurostoxx50 and the Hang Seng China Enterprises Index (HSCEI). These indices are commonly used as underlying assets of step-down ELS. Using historical data, we analyze the risk associated with step-down ELS through the probabilities of early redemption. A regime-switching copula model can accommodate complicated dependence. Thus, it should be considered in the risk analysis of step-down ELS.

• The Korean Journal of Applied Statistics
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• v.27 no.2
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• pp.211-226
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• 2014

This paper discusses life expectancy differentials of beneficiaries of national pension old-age benefit and benefit-cost analysis in Korea. These results are useful indicators for the assessment of retirement income security of beneficiaries and old-age benefits. This paper analyzes benefit-cost ratio, internal rate of return and generation transfer amount, using life tables by lifetime incomes. The result of the actuarial analysis for male life expectancy is approximately 21.69 to 24.63 years. The result of the actuarial analysis for female life expectancy is approximately 27.63 to 29.81 years. The result of the actuarial analysis of low income level is that the benefit-cost ratio is lower approximately 2.68 to 4.83%, the internal rate of return lower approximately 0.00 to 0.74%, the generation transfer amount lower approximately 3.00 to 5.74%, than total income level. The result of the actuarial analysis of high income level is that the benefit-cost ratio is higher approximately 2.07 to 4.98%, the internal rate of return higher approximately 0.03 to 1.73%, the generation transfer amount higher approximately 2.53 to 9.68%, than the total income level. The results by income varies due to the effect of income redistribution and life expectancy on the national pension.

• Communications for Statistical Applications and Methods
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• v.30 no.5
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• pp.437-451
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• 2023

Generalized linear models and generalized linear mixed models (GLMMs) are fundamental tools for predictive analyses. In insurance, GLMMs are particularly important, because they provide not only a tool for prediction but also a theoretical justification for setting premiums. Although thousands of resources are available for introducing GLMMs as a classical and fundamental tool in statistical analysis, few resources seem to be available for the insurance industry. This study targets insurance professionals already familiar with basic actuarial mathematics and explains GLMMs and their linkage with classical actuarial pricing tools, such as the Buhlmann premium method. Focus of the study is mainly on the modeling aspect of GLMMs and their application to pricing, while avoiding technical issues related to statistical estimation, which can be automatically handled by most statistical software.

• Journal of Korean Neurosurgical Society
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• v.46 no.3
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• pp.245-251
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• 2009

Objective : The authors analyzed the effectiveness and therapeutic response of Novalis shaped beam radiosurgery for metastatic brain tumors, and the prognostic factors which influenced the outcome. Methods : We performed a retrospective analysis of 106 patients who underwent 159 treatments for 640 metastatic brain lesions between January 2000 and April 2008. The pathologies of the primary tumor were mainly lung (45.3%), breast (18.2%) and GI tract (13.2%). We classified the patients using Radiation Therapy Oncology Group Recursive Partitioning Analysis (RPA) and then analyzed the survival and prognostic factors according to the Kaplan Meier method and univariate analysis. Results : The overall median actuarial survival rate was 7.3 months from the time of first radiosurgery treatment while 1 and 2 year actuarial survival estimates were 31% and 14.4%, respectively. Median actuarial survival rates for RPA classes I, II, and III were 31.3 months, 7.5 months and 1.7 months, respectively. Patients' life spans, higher Karnofsky performance scores and age correlated closely with RPA classes. However, sex and the number of lesions were not found to be significantly associated with length of survival. Conclusion : This result suggests that Novalis radiosurgery can be a good treatment option for treatment of the patients with brain metastases.

• Journal of Chest Surgery
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• v.20 no.1
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• pp.55-69
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• 1987

The result of valve failure with the lonescu-Shiley pericardial xenograft was presented with the review of current knowledge. This study reviewed 557 patients, who underwent total of 683 lonescu-Shiley pericardial valve replacement from 1979 to 1985 at Seoul National University Hospital. There were 357 patients who had mitral valve replacement, 73 with aortic valve and 127 with double valve replacement. There were 35 operative deaths. The survivors were followed at OPD. There were 32 patients who had prosthetic valve failure, whose ages ranged from 11 to 58 years [mean 27.8] and their postop interval was 56 ~ 22 months [range; 6-87] The causes of valve failure are prosthetic valve endocarditis in 14, primary disruption or calcification in 13, paravalvular leakage in 4, and others in 2 patients. Redo valve replacement was done in 12 patients after a mean interval of 50 * 20 months. [range; 6-79 months] Actuarial analysis of late results indicates actuarial freedom from endocarditis at 6 year is 87.9 ~ 6.8%, and actuarial freedom from primary disruption or calcification or paravalvular leakage at 5 year is 84.4 * 2.3%. In this series, however, valve failure due to thrombosis is not included.

• Communications for Statistical Applications and Methods
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• v.28 no.5
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• pp.447-462
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• 2021

In insurance, the surrender rate is an important variable that threatens the sustainability of insurers and determines the profitability of the contract. Unlike other actuarial assumptions that determine the cash flow of an insurance contract, however, it is characterized by endogenous variables such as people's economic, social, and subjective decisions. Therefore, a microscopic approach is required to identify and analyze the factors that determine the lapse rate. Specifically, micro-level characteristics including the individual, demographic, microeconomic, and household characteristics of policyholders are necessary for the analysis. In this study, we select panel survey data of Korean Retirement Income Study (KReIS) with many diverse dimensions to determine which variables have a decisive effect on the lapse and apply the lasso regularized regression model to analyze it empirically. As the data contain many missing values, they are imputed using the random forest method. Among the household variables, we find that the non-existence of old dependents, the existence of young dependents, and employed family members increase the surrender rate. Among the individual variables, divorce, non-urban residential areas, apartment type of housing, non-ownership of homes, and bad relationship with siblings increase the lapse rate. Finally, among the financial variables, low income, low expenditure, the existence of children that incur child care expenditure, not expecting to bequest from spouse, not holding public health insurance, and expecting to benefit from a retirement pension increase the lapse rate. Some of these findings are consistent with those in the literature.

• Communications for Statistical Applications and Methods
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• v.21 no.1
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• pp.23-43
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• 2014

We study the dependence between the insureds in multiple-life insurance contracts. With the future lifetimes of the insureds modeled as correlated random variables, both premium and reserve are different from those under independence. In this paper, Gaussian copula is used to impose the dependence between the insureds with Gompertz marginals. We analyze the change of the reserves of standard multiple-life insurance contracts at various dependence levels. We find that the reserves based on the assumption of dependent lifetimes are quite different for some contracts from those under independence as its correlation increase, which elucidate the importance of the dependence model in multiple-life contingencies in both theory and practice.