Suitability of stochastic models for mortality projection in Korea: a follow-up discussionSuitability of stochastic models for mortality projection in Korea: a follow-up discussion
- Other Titles
- Suitability of stochastic models for mortality projection in Korea: a follow-up discussion
- Authors
- Thu Thi Ngoc Le; 권혁성
- Issue Date
- Mar-2021
- Publisher
- 한국통계학회
- Keywords
- annuity; longevity risk; mortality projection; retirement income; simulation; stochastic mortality models
- Citation
- Communications for Statistical Applications and Methods, v.28, no.2, pp.171 - 188
- Journal Title
- Communications for Statistical Applications and Methods
- Volume
- 28
- Number
- 2
- Start Page
- 171
- End Page
- 188
- URI
- http://scholarworks.bwise.kr/ssu/handle/2018.sw.ssu/41207
- DOI
- 10.29220/CSAM.2021.28.2.171
- ISSN
- 2287-7843
- Abstract
- 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.
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