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@article{ART002088960},
author={황지연 and Bangwon Ko},
title={The Bayesian Estimation on Korean Male Mortality Rates Using Poisson Log-Bilinear Model and its Application},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2016},
volume={27},
number={1},
pages={23-49},
doi={10.23842/jif.2016.27.1.002}

TY - JOUR
AU - 황지연
AU - Bangwon Ko
TI - The Bayesian Estimation on Korean Male Mortality Rates Using Poisson Log-Bilinear Model and its Application
JO - Journal of Insurance and Finance
PY - 2016
VL - 27
IS - 1
PB - Korea Insurance Research Institute
SP - 23
EP - 49
SN - 2384-3209
AB - In this paper, we intend to project the future Korean mortality rates, and analyze the effect of mortality improvement on the life expectancies and the actuarial present values of life insurances and life annuities. Under the Poisson log-bilinear model, we estimate the parameters for the Korean males by using the hierarchical Bayesian methodology proposed by Czado et al.(2005). For comparison purpose, we provide the estimation results based on the singular value decomposition and the maximum likelihood estimation. Our results show that the parameter estimates based on three different estimation methods do not exhibit a large difference between each other, but the traditional estimation methods underestimate the prediction interval. We expect that the Bayesian estimation method not only can provide a solution to this underestimation problem, but could be very useful to evaluate insurers’ liabilities in the future.
KW - Lee-Carter Model;Bayesian Estimation;Mortality Projection;Poisson Log-bilinear Model
DO - 10.23842/jif.2016.27.1.002
ER -

황지연 and Bangwon Ko. (2016). The Bayesian Estimation on Korean Male Mortality Rates Using Poisson Log-Bilinear Model and its Application. Journal of Insurance and Finance, 27(1), 23-49.

황지연 and Bangwon Ko. 2016, "The Bayesian Estimation on Korean Male Mortality Rates Using Poisson Log-Bilinear Model and its Application", Journal of Insurance and Finance, vol.27, no.1 pp.23-49. Available from: doi:10.23842/jif.2016.27.1.002

황지연, Bangwon Ko "The Bayesian Estimation on Korean Male Mortality Rates Using Poisson Log-Bilinear Model and its Application" Journal of Insurance and Finance 27.1 pp.23-49 (2016) : 23.

황지연, Bangwon Ko. The Bayesian Estimation on Korean Male Mortality Rates Using Poisson Log-Bilinear Model and its Application. 2016; 27(1), 23-49. Available from: doi:10.23842/jif.2016.27.1.002

황지연 and Bangwon Ko. "The Bayesian Estimation on Korean Male Mortality Rates Using Poisson Log-Bilinear Model and its Application" Journal of Insurance and Finance 27, no.1 (2016) : 23-49.doi: 10.23842/jif.2016.27.1.002

황지연; Bangwon Ko. The Bayesian Estimation on Korean Male Mortality Rates Using Poisson Log-Bilinear Model and its Application. Journal of Insurance and Finance, 27(1), 23-49. doi: 10.23842/jif.2016.27.1.002

황지연; Bangwon Ko. The Bayesian Estimation on Korean Male Mortality Rates Using Poisson Log-Bilinear Model and its Application. Journal of Insurance and Finance. 2016; 27(1) 23-49. doi: 10.23842/jif.2016.27.1.002

황지연, Bangwon Ko. The Bayesian Estimation on Korean Male Mortality Rates Using Poisson Log-Bilinear Model and its Application. 2016; 27(1), 23-49. Available from: doi:10.23842/jif.2016.27.1.002

황지연 and Bangwon Ko. "The Bayesian Estimation on Korean Male Mortality Rates Using Poisson Log-Bilinear Model and its Application" Journal of Insurance and Finance 27, no.1 (2016) : 23-49.doi: 10.23842/jif.2016.27.1.002