| Summary: | 碩士 === 淡江大學 === 保險學系保險經營碩士班 === 101 === There are two sides of same coin. On one hand, the extension of life is a good thing because we can enjoy our life longer. On the other hand, we also face longevity risk that we do not prepare enough money to afford living cost for extension life. Thus, to forecast mortality rate is a important thing because it can help us understand the longevity risk more accurately.
From literature we can know that correlation between the mortality and macroeconomic fluctuations, and we can use Lee-Carter model forecasting future mortality. The purpose of this study is integrating these two factors to improve the mortality forecasting.
In a first step, we investigate the relationship between mortality and change in marcoecomomic fluctuations. In second step, we investigate the the analysis including Lee-Carter mortality index kt and marcoecomomic fluctuations.
Using data for twenty OECD countries over the period 1960-2009 and 1970-2009, this study finds that Lee-Carter model mortality index kt correlates significantly with marcoeconomic fluctuation, such as GDP、unemployment rate、participation rate、working hour. Furthermore, we also find that over half countries marcoeconomic are significant, even though the regression contain mortality index. We also find the mortality rate in some high social welfare countries have no significant correlation with macroeconomic fluctuations. The empirical result of this study suggests if we use model to forecast mortality rate, the macroeconomic factors should be involved in Lee-Carter model.
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