Musings on Mortality

10.30003/JRM.200811.0001

Emilio Venezian

cohort mortality ； period mortality ； self-selection ； adverse selection ； mortality forecasting ； profitability

風險管理學報

10卷3期（2008 / 11 / 01）

223 - 257

英文

We often take published mortality rates for granted. This is a dangerous practice because the data sources may gather the information in ways that lead to potentially misleading results. This is particularly true when market selection enters the process because individuals with higher risk of death are more likely to apply for insurance and insurance companies underwrite the risks to attempt to reverse the bias caused by self-selection. Moreover, if the data is to be used for forecasting future mortality we must pay due attention to the basis on which the mortality is calculated; period mortalities and cohort mortalities can be projected, but the applicability of the projections to a particular application must be considered with some care. The methods used in forecasting the mortality of policyholders and annuitants is a major determinant of the risk that insurers bear and of the profit they may be expected to receive; it is also a major determinant of the solvency of social insurance institutions. In particular, methods that do not take into account the impact of market selection on the correlation between mortality of the accepted policyholders and the amount of insurance agreed upon are likely to cause serious biases in the estimation of the required premiums.

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