Mortality Heterogeneity and Systematic Mortality Improvement

Mengyi Xu, M. Sherris, Ramona Meyricke
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引用次数: 1

Abstract

Insurers and pension funds provide life annuities and pensions that are impacted by both aggregate mortality improvement and individual mortality heterogeneity. Aggregate population mortality trends have shown significant improvement over long periods of time. Individual mortality heterogeneity arises from differing risk characteristics across individuals. This paper assesses the extent that systematic mortality improvement varies with individual risk characteristics. To do this, a Lee-Carter model is used to assess if mortality improvement varies for groups of individuals with similar risk characteristics along with an individual mortality model that allows for heterogeneity with time trends to assess systematic risk. Data from the U.S. Health and Retirement Study (HRS) is used since this provides longitudinal, individual level data. Our results are highly relevant to life insurers, pension funds and regulators assessing the future impact of improvement trends in mortality on their premiums and liabilities. Mortality trends differ across individuals reflecting the different risk factors and particularly the prevalence of different diseases such as high blood pressure, cancer and heart problems. Models that are based on aggregate population level trends and differing only by gender and age are not adequate in quantifying mortality trends and risks.
死亡率异质性和系统性死亡率改善
保险公司和养老基金提供的终身年金和养老金受到总体死亡率改善和个人死亡率异质性的影响。在很长一段时间内,总体人口死亡率趋势已显示出显著改善。个体死亡率异质性源于个体间不同的风险特征。本文评估了系统死亡率改善随个体风险特征的变化程度。为此,使用Lee-Carter模型来评估具有相似风险特征的个体组的死亡率改善是否不同,并使用允许随时间趋势的异质性的个体死亡率模型来评估系统风险。我们使用了来自美国健康与退休研究(HRS)的数据,因为它提供了纵向的、个人层面的数据。我们的研究结果与寿险公司、养老基金和监管机构评估死亡率改善趋势对其保费和负债的未来影响高度相关。每个人的死亡率趋势各不相同,反映了不同的风险因素,特别是高血压、癌症和心脏病等不同疾病的流行程度。基于总体人口水平趋势并仅因性别和年龄而有所不同的模型不足以量化死亡率趋势和风险。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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