• Communications for Statistical Applications and Methods
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• 제28권2호
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• pp.171-188
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• 2021

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.

• 응용통계연구
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• 제34권3호
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• pp.347-373
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• 2021

지난 50여 년 동안 우리나라의 사망률 감소 패턴에 대한 탐색적 연구에 의하면 연령별 사망률이 모든 연령에서 감소했지만, 특정한 사망률이 개선되고 있는 패턴은 연령과 기간에 따라 다르다는 것을 알 수 있다. 여자가 남자보다 사망률 개선이 뚜렷하고 특히 시간이 지나면서 특정그룹에서의 사망률 개선이 두드러짐에 따라 전반적으로 사망 시간 추세에 구조적인 변화가 존재함을 확인하였다. 이에 본 연구에서는 우리나라 여자 사망률 자료를 이용하여 미래 사망률 예측을 위해 코호트 효과를 고려한 다양한 확률적 사망률 모형을 살펴보았다. 또한 분석 결과를 바탕으로 2067년까지 연령별 사망률과 예측기대수명을 작성하고 통계청(KOSIS)에서 제공하는 장래 연령별 사망률과 기대수명과 비교하였다. 자료이용기간에 따라 최적의 모형이 상이하나 적합력과 예측력을 전반적으로 고려했을 때 우리나라 여자 사망률은 코호트 효과를 고려한 PLAT 모형이 적절하다 볼 수 있을 것이다.

• Communications for Statistical Applications and Methods
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• 제29권6호
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• pp.679-694
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• 2022

Mortality risk is a significant threat to individual life, and quantifying the risk is necessary for making a national population plan and is a traditionally fundamental task in the insurance and annuity businesses. Like other advanced countries, the sustainability of life pensions and the management of longevity risks are becoming important in Asian countries entering the era of aging society. In this study, mortality and pension value sustainability trends are compared and analyzed based on national population and mortality data, focusing on four Asian countries from 1990 to 2017. The result of analyzing the robustness and accuracy of generalized linear/nonlinear models reveals that the Cairns-Blake-Dowd model, the nonparametric Renshaw-Haberman model, and the Plat model show low stability. The Currie, CBD M5, M7, and M8 models have high stability against data periods. The M7 and M8 models demonstrate high accuracy. The longevity risk is found to be high in the order of Taiwan, Hong Kong, Korea, and Japan, which is in general inversely related to the population size.

• 한국임상수의학회지
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• 제31권1호
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• pp.40-45
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• 2014

Abalone herpes-like virus (AbHV) is a fatal disease of abalones that impose severe economic impacts on the industry of infected regions due to high mortality. The aim of this study was to quantify the risk of introducing AbHV into Korea through the importation of live abalones for human consumption by import risk analysis (IRA). Monte Carlo simulation models were developed to provide estimates of the probability that a ton of imported abalone contains at least one AbHV-infected individual, using historical trade data and relevant literatures. A sensitivity analysis with 5,000 iterations was also conducted to determine the extent to which input parameters affect the outcome of the model. Although many uncertainties were present in the data, the results indicated that, if 5,000 tons of abalone were imported from a hypothetical exporting country with low prevalence of AbHV (model 1), there would be at least one AbHV-infected abalones in 4,816 of those tons (96.3%), while there would be at least one AbHV-infected abalones in 100% of those tons imported from country with high prevalence (model 2). Sensitivity analysis indicated that for model 1, prevalence was the strongest influence factor on the predicted number of infections. For model 2, background mortality and washing to reduce the risk of surface contamination during processing were the major contributing factors. Risk management strategies need to be enforced to reduce the risk of AbHV introduction in that at least one infected abalone would remain in a consignment from country even with a low prevalence of AbHV infection. The methodology and the results presented here will contribute to improve the development of AbHV management program, and with more accurate data this IRA model will aid science-based decision-making on mitigation strategies to reduce the risk of AbHV introduction in Korea.