퇴직연금사망률 산출체계 개선에 관한 연구

The mortality of retirement annuitants is rapidly improving in recent years, in particular at advanced ages. This kind of sustained reduction in mortality rates and its systematic reflection in our future has been one of the interesting subjects in the field of pension science for the reason that its potential impact on the life insurance and DB pension annuity industry would be significantly influenced by the member's life annuity option. We first examine the crucial issues related to the longevity risk, in our current mortality projection methodology. Secondly, we compare our approach with the most scientific approaches that have been applied to the projection of mortality rates in the UK and the USA(especially characterized by the Lee & Carter model) and then derive the following result: that is, the current Korea approach focuses on retrospective and static hedging against the mortality improvement in our future, whereas both UK and USA approaches commonly lead to prospective and dynamic hedging against the mortality improvement. Lastly, we provide the projection of mortality trends, applying the Lee & Carter USA methodology to '71~'02 Korean National Mortality dates and then compare numerically each other. In addition, we hope that this paper would be a first step toward the formation of the mortality improvement study group for developing our own mortality projection methodology.