Centro de Documentación de Fundación MAPFRE - A Bayesian joint model for population and portfolio-specific mortality

MAP20170030447

A Bayesian joint model for population and portfolio-specific mortality / Frank Van Berkum, Katrien Antonio, Michel Vellekoop

33 p.

Sumario: Insurance companies and pension funds must value liabilities using mortality rates that are appropriate for their portfolio. These can only be estimated in a reliable way from a sufficiently large historical dataset for such portfolios, which is often not available.We overcome this problem by introducing a model to estimate portfolio-specific mortality simultaneously with population mortality. By using a Bayesian framework, we automatically generate the appropriate weighting for the limited statistical information in a given portfolio and the more extensive information that is available for the whole population. This allows us to separate parameter uncertainty from uncertainty due to the randomness in individual deaths for a given realization of mortality rates. When we apply our method to a dataset of assured lives in England andWales, we find that different prior specifications for the portfolio-specific factors lead to significantly different posterior distributions for hazard rates. However, in short-term predictive distributions for future numbers of deaths, individual mortality risk turns out to be more important than parameter uncertainty in the portfolio-specific factors, both for large and for small portfolios

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/09/2017 Volumen 47 Número 3 - septiembre 2017 , p. 681-713

1. Mortalidad . 2. Empresas de seguros . 3. Fondos de pensiones . 4. Cartera . 5. Modelos predictivos . I. Antonio, Katrien . II. Vellekoop, Michel . III. Título.