Centro de Documentacion de Fundación MAPFRE - Modeling trends in cohort survival probabilities

MAP20150034120

Modeling trends in cohort survival probabilities / P. Hatzopoulos, S. Haberman

Sumario: A new dynamic parametric model is proposed for analyzing the cohort survival function. A one-factor parameterized polynomial in age effects, complementary log-log link and multinomial cohort responses are utilized, within the generalized linear models (GLM) framework. Sparse Principal component analysis (SPCA) is then applied to cohort dependent parameter estimates and provides (marginal) estimates for a two-factor structure. Modeling the two-factor residuals in a similar way, in age-time effects, provides estimares for the three-factor age-cohort-period model. An application is presented for Sweden, Norway, England & Wales and Denmark mortality experience

En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 07/09/2015 Volumen 64 - septiembre 2015 , p. 162-179

1. Mortalidad . 2. Tasa del riesgo . 3. Predicciones . 4. Modelos predictivos . 5. Matemática del seguro . 6. Cálculo actuarial . I. Haberman, S. . II. Título.