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Modeling and evaluating longevity risk in consideration with long term care status

Research Project

Project/Area Number 25380403
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Money/ Finance
Research InstitutionKeio University

Principal Investigator

KOGURE Atsuyuki  慶應義塾大学, 総合政策学部(藤沢), 教授 (80178251)

Project Period (FY) 2013-04-01 – 2017-03-31
Project Status Completed (Fiscal Year 2016)
Budget Amount *help
¥4,680,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥1,080,000)
Fiscal Year 2015: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2014: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2013: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
Keywords介護リスク / 長寿リスク / 確率的死亡率モデル / ベイズ / アクチュアリアル・サイエンス / 要介護状態 / ベイズアプローチ / 介護保険 / モデリング / 評価 / ベイズ・アプローチ / 介護
Outline of Final Research Achievements

Increased human lifetime is accompanied by a greater chance of becoming disabled. Aging populations such as Japan have faced with the so-called long-term care (LTC) risk in addition to the longevity risk. The key element of the solutions is how the mortality is related to health states. However, study on the complicated mortality dynamics between the mortality and the health state is limited due to lack of data. This research has proposed a new methodology to forecast mortality rates by the LTC status under the premise that the death data on the LTC sub-populations are not available, but the corresponding population exposures are available. Based on this model we have constructed a Bayesian methodology to forecast future mortality rates. We have applied the proposed methodology to the data from the Japanese long-term care insurance system and predicted the future mortality rates by the required level of the long-term care.

Report

(5 results)
  • 2016 Annual Research Report   Final Research Report ( PDF )
  • 2015 Research-status Report
  • 2014 Research-status Report
  • 2013 Research-status Report
  • Research Products

    (19 results)

All 2017 2016 2015 2014 Other

All Journal Article (2 results) (of which Acknowledgement Compliant: 1 results,  Peer Reviewed: 1 results) Presentation (16 results) (of which Int'l Joint Research: 5 results,  Invited: 6 results) Remarks (1 results)

  • [Journal Article] A Bayesian Method for Forecasting Mortality Rates by Health State2017

    • Author(s)
      小暮厚之・神谷信一・伏見考弘
    • Journal Title

      Proceedings「第18回ノンパラメトリック統計解析とベイス推定」

      Volume: ー Pages: 228-239

    • Related Report
      2016 Annual Research Report
    • Acknowledgement Compliant
  • [Journal Article] A Bayesian Multivariate Risk-neutral Method for Pricing Reverse Mortgages2014

    • Author(s)
      Kogure, A. Li, J. and Kamiya, S.
    • Journal Title

      North American Actuarial Journal

      Volume: Vol. 18, No 1. Issue: 1 Pages: 242-257

    • DOI

      10.1080/10920277.2013.872983

    • Related Report
      2013 Research-status Report
    • Peer Reviewed
  • [Presentation] A Bayesian Method for Forecasting Mortality Rates by Health State2017

    • Author(s)
      小暮厚之・神谷信一・伏見考弘
    • Organizer
      第18回ノンパラメトリック統計解析とベイズ統計
    • Place of Presentation
      慶應義塾大学三田キャンパス(東京都)
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] An Extended Lee-Carter Model for Mortality Differential by Long-Term Care Status2016

    • Author(s)
      Atsuyuki Kogure
    • Organizer
      Insurance Risk Research Conference 2016
    • Place of Presentation
      シンガポール
    • Year and Date
      2016-06-16
    • Related Report
      2015 Research-status Report
    • Int'l Joint Research / Invited
  • [Presentation] An Extended Lee-Carter Model for Mortality Differential by Long-Term Care Status2016

    • Author(s)
      Atsuyuki Kogure, Shinichi Kamiya, Takahiro Fushimi
    • Organizer
      Insurance Risk Research Conference 2016
    • Place of Presentation
      シンガポール
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] 長寿化を考慮した要介護状態別死亡率の予測 ―混合リー・カーター・モデルによるアプローチ―2016

    • Author(s)
      小暮厚之・神谷信一・伏見考弘
    • Organizer
      日本保険・年金リスク学会
    • Place of Presentation
      明治大学中野キャンパス(東京都)
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] A Bayesian Method for Forecasting Mortality Rates by Health State2016

    • Author(s)
      Atsuyuki Kogure, Shinichi Kamiya, Takafumi Fushimi
    • Organizer
      Recent Progress in Time Series Analysis in honor of Professor Hosoya
    • Place of Presentation
      東北大学川内キャンパス(宮城県)
    • Related Report
      2016 Annual Research Report
  • [Presentation] Predicting Health Care Costs by Two-part Model with Sparse Regularization2015

    • Author(s)
      Atsuyuki Kogure
    • Organizer
      2015 World Risk and Insurance Economics Conference
    • Place of Presentation
      ドイツ・ミュンヘン
    • Year and Date
      2015-08-05
    • Related Report
      2015 Research-status Report
    • Int'l Joint Research
  • [Presentation] 健康保険データに基づく 医療費予測モデリング2015

    • Author(s)
      小暮厚之
    • Organizer
      第16回ノンパラメトリック統計解析とベイズ統計
    • Place of Presentation
      慶應義塾大学
    • Year and Date
      2015-03-25
    • Related Report
      2014 Research-status Report
  • [Presentation] A Bayesian Approach to Longevity Derivative Pricing under Stochastic Interest Rates with a Two-Factor Lee-Carter Model2014

    • Author(s)
      Atsuyuki Kogure
    • Organizer
      International Conference on Statistical Analysis of Large Scale High Dinensional Socio-Economics Data
    • Place of Presentation
      東北大学
    • Year and Date
      2014-11-06
    • Related Report
      2014 Research-status Report
    • Invited
  • [Presentation] 長寿リスクのモデリングと評価-ベイズ・アプローチ-2014

    • Author(s)
      小暮厚之
    • Organizer
      日本統計学会
    • Place of Presentation
      東京大学
    • Year and Date
      2014-09-15
    • Related Report
      2014 Research-status Report
  • [Presentation] A Bayesian Multivariate Risk-Neutral Method for Pricing Reverse Mortgages2014

    • Author(s)
      小暮厚之
    • Organizer
      経済・ファイナンス分析のための統計的方法 ― 刈屋武昭教授古希記念シンポジウム―
    • Place of Presentation
      学習院大学
    • Year and Date
      2014-09-12
    • Related Report
      2014 Research-status Report
    • Invited
  • [Presentation] A Bayesian Approach to Pricing Longevity Derivatives under Stochastic Interest Rates with a Two-factor Lee-Carter Model2014

    • Author(s)
      Atsuyuki Kogure
    • Organizer
      American Risk and Insurance Association 2014 Annual Meeting
    • Place of Presentation
      Seattle, U. S. A.
    • Year and Date
      2014-08-05
    • Related Report
      2014 Research-status Report
  • [Presentation] A Bayesian Pricing of Longevity Derivatives with Mortality and Interest Rate Risks2014

    • Author(s)
      Atsuyuki Kogure
    • Organizer
      Insurance Risk and Finance Research conference 2014
    • Place of Presentation
      Singapore
    • Year and Date
      2014-06-26
    • Related Report
      2014 Research-status Report
    • Invited
  • [Presentation] A Bayesian two-factor Lee-Carter model and its appication to evaluating longevity risk in reverse mortgages

    • Author(s)
      Takamatsu, Y. and Kogure, A.
    • Organizer
      2013 Asia-Pacific Risk and Insurance Association annual meeting
    • Place of Presentation
      New York, USA
    • Related Report
      2013 Research-status Report
  • [Presentation] A Bayesian Pricing of Longevity Derivatives under Stochastic Interest Rates

    • Author(s)
      Kogure, A. and Fushimi, T.
    • Organizer
      The Ninth International Longevity Risk and Capital Markets Solutions Conference
    • Place of Presentation
      中国北京
    • Related Report
      2013 Research-status Report
  • [Presentation] A Bayesian Pricing of Longevity Derivatives under Stochastic Interest Rates

    • Author(s)
      小暮厚之
    • Organizer
      日本金融・証券計量・工学会2013年度冬季大会
    • Place of Presentation
      慶應義塾大学三田キャンパス
    • Related Report
      2013 Research-status Report
  • [Presentation] A Bayesian Pricing of Longevity Derivative Pricing under Stochastic Interest Rates with a Two-factor Lee-Carter model

    • Author(s)
      小暮厚之
    • Organizer
      第14回「ノンパラメトリック統計解析とベイズ統計」研究集会
    • Place of Presentation
      慶應義塾大学三田キャンパス
    • Related Report
      2013 Research-status Report
  • [Remarks] 平成25-27年度科学研究費 基盤研究(C) 要介護状態を考慮した長寿リスクのモデリングと評価

    • URL

      http://web.sfc.keio.ac.jp/~kogure/risk/index.php?LongTermCare

    • Related Report
      2013 Research-status Report

URL: 

Published: 2014-07-25   Modified: 2019-07-29  

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