The Modified Mortality Decomposition Model and its Application in the China Longevity Risk Analysis

Abstract:

the paper made an adjustment on the mortality decomposition model which was first proposed by the author. The mortality data can be processed by the classical wavelet and HHT methods. Compared with the classical mortality analyzing method, more information about longevity risk can be captured by the adjusted mortality decomposition. As a new development, the adjusted mortality decomposition is more effective for the short data set like China. Also the paper gave a modified form of longevity risk index which is different from that the author introduced in another paper. The new modified index is more suitable for China. Based on the adjusted decomposition of mortality rate data and modified longevity risk index, the paper gave their application and detailed analysis on China longevity risk. The important result of different provinces is also given.

• Periodical: Advanced Materials Research (Volumes 756-759)
• Pages: 2912-2917
• DOI: https://doi.org/10.4028/www.scientific.net/AMR.756-759.2912
• Online since: September 2013
• Authors: Ning Zhang
• Keywords: Longevity Risk, Longevity Risk Index, Mortality Decomposition Model, Stable Distribution

References

[1] Zhang Ning, Introduction and computation of longevity risk index based on mortality rate decomposition model , Springer Communications in Computer and Information, Volume 289, 2012, pp.608-615 (2012).

DOI: 10.1007/978-3-642-31968-6_72

[2] Pearlmutter, B. A. and Parra, L. C. Maximum likelihood blind source separation: A context-sensitive generalization of ICA. In Advances in Neural Information Processing Systems, volume 9, p.613–619 (1997).

[3] Emms, P. H. C. and Haberman, S. Income drawdown schemes for a defined contribution pension plan. Journal of Risk and Insurance, 75(3), pp.739-761 (2008).

DOI: 10.1111/j.1539-6975.2008.00282.x

[4] Felipe, A., Guillen, M., and Perez-Marin, A. M. Rescent morality in Spanish population. British Actuarial Journal, 8, pp.757-786 (2002).

DOI: 10.1017/s1357321700003901

[5] Lee, R.D. The Lee-Carter method for forecasting morality, with various extensions and applications. North American Actuarial Journal, 4(1), pp.80-93 (2000).

DOI: 10.1080/10920277.2000.10595882

[6] Lundstrom, H. and Qvist, J. Mortality forecasting and trend shifts: an application of the Lee-Carter Model to Swedish mortality data. Internaltional Statistical Review, 72, pp.37-50 (2004).

DOI: 10.1111/j.1751-5823.2004.tb00222.x

[7] Olivieri, A. heterogeneity in survival models. Application to pension and life annuities. Belgian Actuarial Bulletin, 6, pp.23-29 (2006).

[8] Renshaw, A. E. and Haberman, S. On simulation –based approaches to risk measurement in mortality with specific reference to poisson Lee-Carter modelling. Insurance: Mathematics and Economics, 42, pp.797-816 (2008).

DOI: 10.1016/j.insmatheco.2007.08.009

[9] Wong-Fupuy, C. and Haberman, S. Projecting mortaltiy trends: recent developments in the United Kingdom and the United States. North American Actuarial Journal, 8, pp.56-83 (2008).

DOI: 10.1080/10920277.2004.10596137