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First-Order Mortality Rates and Safe-Side Actuarial Calculations in Life Insurance

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  • Christiansen, Marcus C.
  • Denuit, Michel M.

Abstract

In this paper, we discuss how to define conservative biometric bases in life insurance. The first approach is based on cumulative hazard (or survival probabilities), the second one on the hazard itself, and the third one on the rate of increase of the hazard. The second case has been studied in the literature and the sum-at-risk plays a central role in defining safe-side requirements. The two other cases appear to be new and concepts related to sum-at-risk are defined.

Suggested Citation

  • Christiansen, Marcus C. & Denuit, Michel M., 2010. "First-Order Mortality Rates and Safe-Side Actuarial Calculations in Life Insurance," ASTIN Bulletin, Cambridge University Press, vol. 40(2), pages 587-614, November.
    • Handle: RePEc:cup:astinb:v:40:y:2010:i:02:p:587-614_00
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    Cited by:

    1. Christiansen, Marcus C. & Denuit, Michel M., 2013. "Worst-case actuarial calculations consistent with single- and multiple-decrement life tables," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 1-5.
    2. Christiansen, Marcus & Denuit, Michel, 2012. "Worst-case actuarial calculations consistent with single- and multiple-decrement life tables," LIDAM Discussion Papers ISBA 2012027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

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