Modelling Mortality with Actuarial Applications

Angus S. Macdonald, Stephen J. Richards, Iain D. Currie

• Publisher: Cambridge University Press
• Year: 2018
• Print ISBN:
  9781107045415
• eBook ISBN:
  9781108686334
• Topic: Mathématiques
• Subtopic: Optimisation

Actuaries have access to a wealth of individual data in pension and insurance portfolios, but rarely use its full potential. This book will pave the way, from methods using aggregate counts to modern developments in survival analysis. Based on the fundamental concept of the hazard rate, Part I shows how and why to build statistical models, based on data at the level of the individual persons in a pension scheme or life insurance portfolio. Extensive use is made of the R statistics package. Smooth models, including regression and spline models in one and two dimensions, are covered in depth in Part II. Finally, Part III uses multiple-state models to extend survival models beyond the simple life/death setting, and includes a brief introduction to the modern counting process approach. Practising actuaries will find this book indispensable, and students will find it helpful when preparing for their professional examinations.

Table of contents

• Cover
• Half-title
• Series information
• Title page
• Copyright information
• Table of contents
• Preface
• Part ONE Analysing Portfolio Mortality
• Part TWO Regression and Projection Models
• Part THREE Multiple-State Models
• Appendix A R Commands
• Appendix B Basic Likelihood Theory
• Appendix C Conversion to Published Tables
• Appendix D Numerical Integration
• Appendix E Mean and Variance-Covariance of a Vector
• Appendix F Differentiation with Respect to a Vector
• Appendix G Kronecker Product of Two Matrices
• Appendix H R Functions and Programs
• References
• Author Index
• Index