Modelling Mortality with Actuarial Applications

Erscheinungsjahr 2019
ISBN: 978-1-107-04541-5
Verlag: Cambridge University Press

Buch, Englisch, 384 Seiten, HC gerader Rücken kaschiert, Format (B × H): 157 mm x 235 mm, Gewicht: 708 g

Reihe: International Series on Actuarial Science

Actuaries have access to a wealth of individual data in pension and insurance portfolios, but rarely use its full potential. This book will pave the way, from methods using aggregate counts to modern developments in survival analysis. Based on the fundamental concept of the hazard rate, Part I shows how and why to build statistical models, based on data at the level of the individual persons in a pension scheme or life insurance portfolio. Extensive use is made of the R statistics package. Smooth models, including regression and spline models in one and two dimensions, are covered in depth in Part II. Finally, Part III uses multiple-state models to extend survival models beyond the simple life/death setting, and includes a brief introduction to the modern counting process approach. Practising actuaries will find this book indispensable, and students will find it helpful when preparing for their professional examinations.

Autoren/Hrsg.

Macdonald, Angus S.

Richards, Stephen J.

Currie, Iain D.

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Wirtschaftsstatistik, Demographie
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Optimierung
• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Versicherungswirtschaft
• Interdisziplinäres Wissenschaften Wissenschaften: Forschung und Information Risikobewertung, Risikotheorie

Inhaltsverzeichnis

Preface; Part I. Analysing Portfolio Mortality: 1. Introduction; 2. Data preparation; 3. The basic mathematical model; 4. Statistical inference with mortality data; 5. Fitting a parametric survival model; 6. Model comparison and tests of fit; 7. Modelling features of the portfolio; 8. Non-parametric methods; 9. Regulation; Part II. Regression and Projection Models: 10. Methods of graduation I - regression models; 11. Methods of graduation II - smooth models; 12. Methods of graduation III - 2-dimensional models; 13. Methods of graduation IV - forecasting; Part III. Multiple-State Models: 14. Markov multiple-state models; 15. Inference in the Markov model; 16. Competing risks models; 17. Counting-process models; Appendix A. R commands; Appendix B. Basic likelihood theory; Appendix C. Conversion to published tables; Appendix D. Numerical integration; Appendix E. Mean and variance-covariance of a vector; Appendix F. Differentiation with respect to a vector; Appendix G. Kronecker product of two matrices; Appendix H. R functions and programs; References; Author index; Index.

Über Autor(innen)

Richards, Stephen J.
Stephen J. Richards is an actuary and principal of Longevitas Ltd., Edinburgh, a software and consultancy firm that uses many of the models described in this book with life insurance and pension scheme clients worldwide.

Currie, Iain D.
Iain D. Currie is an Honorary Research Fellow at Heriot-Watt University, Edinburgh. As a statistician, he was chiefly responsible for the development of the spline models described in this book, and their application to actuarial problems.

Macdonald, Angus S.
Angus S. Macdonald is Professor of Actuarial Mathematics at Heriot-Watt University, Edinburgh. He is an actuary with much experience of modeling mortality and other life histories, particularly in connection with genetics, and as a member of Continuous Mortality Investigation committees.