Communications for Statistical Applications and Methods

  • 제29권6호
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  • Pages.679-694
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  • 2022
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  • 2287-7843(pISSN)
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  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
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Sustainability of pensions in Asian countries

  • Hyunoo, Shim (Department of Actuarial Science, Hanyang University) ;
  • Siok, Kim (Department of Finance and Insurance, Hanyang University) ;
  • Yang Ho, Choi (Department of Actuarial Science, Hanyang University)
  • 투고 : 2022.05.05
  • 심사 : 2022.08.01
  • 발행 : 2022.11.30
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초록

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.

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