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A Hermite-spline model of post-retirement mortality
Scandinavian Actuarial Journal ( IF 1.8 ) Pub Date : 2019-07-22 , DOI: 10.1080/03461238.2019.1642239
Stephen J. Richards 1
Affiliation  

ABSTRACT We present a model for post-retirement mortality where differentials automatically reduce with increasing age, but without the fitted mortality rates for subgroups crossing over. Selection effects are catered for, as are age-modulated time trends and seasonal variation in mortality. Central to the model are Hermite splines, which permit parsimonious modelling of complex risk factors in even modest-sized portfolios. The model is therefore suitable for the stand-alone analysis of experience data for reinsurance, bulk annuities and longevity swaps. We also illustrate the contrast between the statistical significance of a risk factor and its financial significance and discuss reasons why one might include risk factors like season that are not directly financially significant.

中文翻译:

退休后死亡率的 Hermite 样条模型

摘要 我们提出了一个退休后死亡率模型,其中差异随着年龄的增加而自动减少,但没有交叉亚组的拟合死亡率。考虑到了选择效应,以及年龄调制的时间趋势和死亡率的季节性变化。该模型的核心是 Hermite 样条,它允许对即使是中等规模的投资组合中的复杂风险因素进行简约建模。因此,该模型适用于对再保险、大宗年金和长寿互换的经验数据进行独立分析。我们还说明了风险因素的统计显着性与其财务显着性之间的对比,并讨论了为什么可能包括季节等风险因素在财务上没有直接意义的原因。
更新日期:2019-07-22
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