Religious beliefs, in particular views on the afterlife, could plausibly influence suicide.
Is there some study which tries to look at how belief systems play a role in the number of suicides in some country or in the world?
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I think, from a statistical point of view, this question will be impossible to answer, because belief in an afterlife is almost always tied to powerful confounding factors, such as participation in a community of fellow believers, marital status, age, etc. I imagine that religious affiliation probably can have a strong protective effect regarding suicide - though I don't have any statistics to back that up - but I can't envisage how you would separate out the various components of religious affiliation and prove which component(s) made the crucial difference.
You might have heard of Émile Durkheim's famous book Suicide. (Forgive me if I'm assuming either too little or too much knowledge on your part.) Durkheim looked specifically at the effect of religious affiliation on suicide: he found that Jews in late nineteenth century France had the lowest rate of suicide, Protestants the highest, and Roman Catholics somewhere in the middle. Durkheim, however, attributed these findings to the fact that Jews tended to form very tight-knit communities, and that Protestants tended to be much more individualistic, than to any doctrinal difference.
On a more personal note, as a believer who has been through two episodes of severe depression, I think that, broadly speaking, belief in an afterlife probably does have a protective effect with regard to suicide - although there are plenty of factors whose effect is more potent. I have no background in academic psychology, so my advice is probably both unwelcome and unsound, but, if this is part of a formal research project, a good place to start would be to interview believers who had gone through, or were going through, an episode of severe depression. Also, John Donne's Biathanatos provides a very left-field exploration of Christian attitudes to suicide.
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1$\begingroup$ Great answer, thank you! However, doesn't whether believe in an afterlife have a protective effect with regard to suicide depend wholly on the type of afterlife your religion prescribes? I.e., if your religion dictates taking your own life will make it more likely you end up in hell, it would be protective, but if there is no such interpretation, it could be encouraging ("I won't really die, there is still the afterlife."). $\endgroup$– Steven Jeuris ♦Dec 21, 2019 at 19:35
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$\begingroup$ David Foster Wallace wrote: 'The so-called "psychotically depressed" person who tries to kill herself doesn't do so out of quote "hopelessness" or any abstract conviction that life's assets and debits do not square. And surely not because death seems suddenly appealing. The person in whom Its invisible agony reaches a certain unendurable level will kill herself the same way a trapped person will eventually jump from the window of a burning high-rise.' $\endgroup$ Dec 23, 2019 at 11:15
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1$\begingroup$ You seem to be thinking about suicide in terms of a rational weighing up of pros and cons, and I think that's misguided. I think suicide is most often a matter of giving in to an animal impulse, rather than anything more considered. $\endgroup$ Dec 23, 2019 at 11:32
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$\begingroup$ It's also worth noting that belief can cut both ways. That is, belief in eternal punishment for committing suicide, combined with pain intense enough to make one consider taking one's own life, can cause a person to doubt said belief, as well as the whole belief structure supporting it. $\endgroup$ Dec 23, 2019 at 11:37
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1$\begingroup$ That said, there is another species of suicide, which we find in the so-called "honour cultures" of antiquity and present-day Japan. In those societies, suicide frequently is a rational act, and thus I imagine that more Christian-like attitudes to suicide could be very protective indeed. (Sorry for such a long response!) $\endgroup$ Dec 23, 2019 at 11:42