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A Credibility Approach to Mortality Risk

Author

Listed:
  • Hardy, M.R.
  • Panjer, H.H.

Abstract

Bühlmann-Straub credibility is used to find an estimate of the mortality loss ratio for a company, relative to a standard table, for use in the statutory valuation of life insurance business. A method for calculating the margin for adverse deviation to be added to the mortality rate (in accordance with the general principle of Canadian statutory valuation) is derived. Applying credibility further to the variance of the mortality loss ratio gives a methodology for calculating the amount of the surplus (i.e. capital) required to cover annual fluctuations in mortality experience. The necessary structural parameters are calculated from industry statistics; the methodology is illustrated using Canadian life insurance data.

Suggested Citation

  • Hardy, M.R. & Panjer, H.H., 1998. "A Credibility Approach to Mortality Risk," ASTIN Bulletin, Cambridge University Press, vol. 28(2), pages 269-283, November.
    • Handle: RePEc:cup:astinb:v:28:y:1998:i:02:p:269-283_01
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    Citations

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    Cited by:

    1. Yahia Salhi & Pierre-Emmanuel Thérond, 2016. "Age-Specific Adjustment of Graduated Mortality," Working Papers hal-01391285, HAL.
    2. Hong Li & Yang Lu, 2018. "A Bayesian non-parametric model for small population mortality," Post-Print hal-02419000, HAL.
    3. Bozikas, Apostolos & Pitselis, Georgios, 2020. "Incorporating crossed classification credibility into the Lee–Carter model for multi-population mortality data," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 353-368.
    4. Annamaria Olivieri & Ermanno Pitacco, 2012. "Life tables in actuarial models: from the deterministic setting to a Bayesian approach," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(2), pages 127-153, June.
    5. Salhi, Yahia & Thérond, Pierre-E., 2018. "Age-Specific Adjustment Of Graduated Mortality," ASTIN Bulletin, Cambridge University Press, vol. 48(2), pages 543-569, May.
    6. Pierre-Emmanuel Thérond, 2008. "Ifrs, solvabilité 2, IFRS, embedded value : quel traitement du risque ?," Post-Print hal-03202264, HAL.
    7. Yahia Salhi & Pierre-Emmanuel Thérond & Julien Tomas, 2016. "A Credibility Approach of the Makeham Mortality Law," Post-Print hal-01232683, HAL.
    8. repec:hal:wpaper:hal-01232683 is not listed on IDEAS
    9. Apostolos Bozikas & Georgios Pitselis, 2019. "Credible Regression Approaches to Forecast Mortality for Populations with Limited Data," Risks, MDPI, vol. 7(1), pages 1-22, February.

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