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Application of Frailty-Based Mortality Models Using Generalized Linear Models

Published online by Cambridge University Press:  17 April 2015

Zoltan Butt  and
Steven Haberman
Steven Haberman
Affiliation:
Faculty of Actuarial Science and Statistics, City University, London
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Abstract

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Two families of frailty models – Makeham/Gompertz-gamma and Gompertz-inverse Gaussian – have been considered to graduate insurance-based mortality data. The aims of this exercise are twofold. The first aim is to make use of generalized linear models and to evaluate these against traditional techniques. The second aim is to measure the scale of individual heterogeneity in insurance-based populations. The results indicate that (subject to issues of identifiability) there is evidence of frailty in these populations.

Keywords

FrailtyMortality rates graduationGeneralized linear modellingGompertz-Makeham functionPerks model
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 34 , Issue 1 , May 2004 , pp. 175 - 197
Copyright
Copyright © ASTIN Bulletin 2004

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