사망확률을 고려한 국민연금 수익비 추정

초록

In this study, the cost-benefit ratio of the national pension is estimated through a stochastic model considering the probability of death. By using Jensen's inequality, it was shown that the existing cost-benefit ratio calculation method considering life expectancy can be overestimated than the ratio calculated by the probability of death. The estimation of cost-benefit ratio through a stochastic model makes it possible to calculate the uncertainty of longevity risk. The result of the defined annuity method presents only the concept of average, but the actuarial approach considering the probability of death has the advantage of being able to analyze not only the average but also various statistics such as variance. Previous studies have not dealt with providing information on the volatility and value at risk through the distribution.

키워드