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Application of Frailty-Based Mortality Models Using Generalized Linear Models

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  • Butt, Zoltan
  • Haberman, Steven

Abstract

Two families of frailty models – Makeham/Gompertz-gamma and Gompertz-inverse Gaussian – have been considered to graduate insurance-based mortality data. The aims of this exercise are twofold. The first aim is to make use of generalized linear models and to evaluate these against traditional techniques. The second aim is to measure the scale of individual heterogeneity in insurance-based populations. The results indicate that (subject to issues of identifiability) there is evidence of frailty in these populations.

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  • Butt, Zoltan & Haberman, Steven, 2004. "Application of Frailty-Based Mortality Models Using Generalized Linear Models," ASTIN Bulletin, Cambridge University Press, vol. 34(1), pages 175-197, May.
    • Handle: RePEc:cup:astinb:v:34:y:2004:i:01:p:175-197_01
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    Cited by:

    1. Annamaria Olivieri & Ermanno Pitacco, 2016. "Frailty and Risk Classification for Life Annuity Portfolios," Risks, MDPI, vol. 4(4), pages 1-23, October.
    2. Jonas Šiaulys & Rokas Puišys, 2022. "Survival with Random Effect," Mathematics, MDPI, vol. 10(7), pages 1-17, March.
    3. Willemse, W.J. & Kaas, R., 2007. "Rational reconstruction of frailty-based mortality models by a generalisation of Gompertz' law of mortality," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 468-484, May.
    4. Lindholm, Mathias, 2017. "A note on the connection between some classical mortality laws and proportional frailty," Statistics & Probability Letters, Elsevier, vol. 126(C), pages 76-82.
    5. Maria Carannante & Valeria D’amato & Steven Haberman & Massimiliano Menzietti, 2024. "Frailty-based mortality models and reserving for longevity risk," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(2), pages 320-339, April.
    6. W.J. Willemse & R. Kaas, 2007. "Rational reconstruction of frailty-based mortality models by a generalisation of Gompertz' law of mortality," DNB Working Papers 135, Netherlands Central Bank, Research Department.
    7. Roozbeh Hosseini, 2015. "Adverse Selection in the Annuity Market and the Role for Social Security," Journal of Political Economy, University of Chicago Press, vol. 123(4), pages 941-984.

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