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Analysis of cause-of-death mortality and actuarial implications
- Source :
- Communications for Statistical Applications and Methods. 26:557-573
- Publication Year :
- 2019
- Publisher :
- The Korean Statistical Society, 2019.
-
Abstract
- 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.
- Subjects :
- Statistics and Probability
Pension
Actuarial science
Longevity risk
business.industry
Applied Mathematics
Annuity (American)
Multinomial logistic regression model
Modeling and Simulation
Life insurance
Life expectancy
Medicine
Statistics, Probability and Uncertainty
business
Finance
Risk management
Cause of death
Subjects
Details
- ISSN :
- 23834757
- Volume :
- 26
- Database :
- OpenAIRE
- Journal :
- Communications for Statistical Applications and Methods
- Accession number :
- edsair.doi...........7e8aab1f79a34c40f6c589ab422e52d1