The Saint model : a decade later
Objetos digitales
| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20220015059 | ||
| 003 | MAP | ||
| 005 | 20220520095702.0 | ||
| 008 | 220519e20220509esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20220005296$aJarner, Søren F. | |
| 245 | 1 | 4 | $aThe Saint model$b: a decade later$cSøren F. Jarner, Snorre Jallbjorn |
| 520 | $aWhile many of the prevalent stochastic mortality models provide adequate short- to medium-term forecasts, only few provide biologically plausible descriptions of mortality on longer horizons and are sufficiently stable to be of practical use in smaller populations. Among the very first to address the issue of modelling adult mortality in small populations was the SAINT model, which has been used for pricing, reserving and longevity risk management by the Danish Labour Market Supplementary Pension Fund (ATP) for more than a decade. The lessons learned have broadened our understanding of desirable model properties from the practitioner's point of view and have led to a revision of model components to address accuracy, stability, flexibility, explainability and credibility concerns. This paper serves as an update to the original version published 10 years ago and presents the SAINT model with its modifications and the rationale behind them. The main improvement is the generalization of frailty models from deterministic structures to a flexible class of stochastic models. We show by example how the SAINT framework is used for modelling mortality at ATP and make comparisons to the Lee-Carter model. | ||
| 540 | $aLa copia digital se distribuye bajo licencia "Attribution 4.0 International (CC BY NC SA 4.0)"$f$uhttps://creativecommons.org/licenses/by-nc-sa/4.0$965 | ||
| 650 | 4 | $0MAPA20080586447$aModelo estocástico | |
| 650 | 4 | $0MAPA20080555306$aMortalidad | |
| 650 | 4 | $0MAPA20100065273$aModelo Lee-Carter | |
| 700 | 1 | $0MAPA20220005302$aJallbjorn, Snorre | |
| 773 | 0 | $wMAP20077000420$g09/05/2022 Volumen 52 Número 2 - mayo 2022 , p. 483-517$x0515-0361$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association | |
| 856 | $qapplication/pdf$w1115376$yRecurso electrónico / Electronic resource |