왜도 예측을 이용한 Lee-Carter모형의 사망률 예측

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 κt. 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, κt. The paper shows how to indirectly estimate future κt trend with the skewness of the mortality and compares the results under each estimation method of the mortality index, κt. 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.