Search

Patterns and trends in late-life mortality are of growing financial importance. The growth in pension liabilities, both public and private, are of crucial interest to governments, insurers and companies with defined benefit pension schemes. This paper explores the patterns in international mortality data, and draws important lessons for actuaries in the United Kingdom.

Generalized linear models (GLMs) are gaining popularity as a statistical analysis method for insurance data. For segmented portfolios, as in car insurance, the question of credibility arises naturally; how many observations are needed in a risk class before the GLM estimators can be considered credible? In this paper we study the limited fluctuations credibility of the GLM estimators as well as in the extended case of generalized linear mixed model (GLMMs). We show how credibility depends on the sample size, the distribution of covariates and the link function. This provides a mechanism to obtain confidence intervals for the GLM and GLMM estimators.

Search Results

Refine search

Refine search

Actions for selected content:

2 results

Two-Dimensional Mortality Data: Patterns and Projections

Full Credibility with Generalized Linear and Mixed Models

Search Results

Refine search

Refine search

Actions for selected content:

Save Search

2 results

Two-Dimensional Mortality Data: Patterns and Projections

Full Credibility with Generalized Linear and Mixed Models