IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v96y2021icp222-231.html
   My bibliography  Save this article

Dynamic hazards modelling for predictive longevity risk assessment

Author

Listed:
  • Kulinskaya, Elena
  • Gitsels, Lisanne Andra
  • Bakbergenuly, Ilyas
  • Wright, Nigel R.

Abstract

Predictive risk assessment and risk stratification models based on geodemographic postcode-based consumer classification are widely used in the pension and life insurance industry. However, these are static socio-economic models not directly related to health information. Health information is increasingly used for annuity underwriting in the UK, using health status when the annuity is purchased. In real life, people develop new health conditions and lifestyle habits and can start and stop a certain treatment regime at any time. This requires the ability to dynamically classify clients into time-varying risk profiles based on the presence of evolving health-related conditions, treatments and outcomes. We incorporate landmark analysis of electronic health records (EHR), in combination with the baseline hazards described by Gompertz survival distributions, for dynamic prediction of survival probabilities and life expectancy. We discuss a case-study based on landmark analysis of the survival experience of a cohort of 110,243 healthy participants who reached age 60 between 1990–2000.

Suggested Citation

  • Kulinskaya, Elena & Gitsels, Lisanne Andra & Bakbergenuly, Ilyas & Wright, Nigel R., 2021. "Dynamic hazards modelling for predictive longevity risk assessment," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 222-231.
    • Handle: RePEc:eee:insuma:v:96:y:2021:i:c:p:222-231
    DOI: 10.1016/j.insmatheco.2020.11.001
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167668720301517
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.insmatheco.2020.11.001?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Saul Justin Newman, 2018. "Errors as a primary cause of late-life mortality deceleration and plateaus," PLOS Biology, Public Library of Science, vol. 16(12), pages 1-12, December.
    2. Missov, Trifon I. & Lenart, Adam, 2013. "Gompertz–Makeham life expectancies: Expressions and applications," Theoretical Population Biology, Elsevier, vol. 90(C), pages 29-35.
    3. Richards, S. J., 2008. "Applying Survival Models to Pensioner Mortality Data," British Actuarial Journal, Cambridge University Press, vol. 14(2), pages 257-303, July.
    4. James W. Vaupel, 2010. "Biodemography of human ageing," Nature, Nature, vol. 464(7288), pages 536-542, March.
    5. Hans C. Van Houwelingen, 2007. "Dynamic Prediction by Landmarking in Event History Analysis," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 34(1), pages 70-85, March.
    6. Andrés Villegas & Steven Haberman, 2014. "On the Modeling and Forecasting of Socioeconomic Mortality Differentials: An Application to Deprivation and Mortality in England," North American Actuarial Journal, Taylor & Francis Journals, vol. 18(1), pages 168-193.
    7. Dennis M. Feehan, 2018. "Separating the Signal From the Noise: Evidence for Deceleration in Old-Age Death Rates," Demography, Springer;Population Association of America (PAA), vol. 55(6), pages 2025-2044, December.
    8. Kulinskaya, Elena & Gitsels, Lisanne A. & Bakbergenuly, Ilyas & Wright, Nigel R., 2020. "Calculation of changes in life expectancy based on proportional hazards model of an intervention," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 27-35.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Kulinskaya, Elena & Gitsels, Lisanne A. & Bakbergenuly, Ilyas & Wright, Nigel R., 2020. "Calculation of changes in life expectancy based on proportional hazards model of an intervention," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 27-35.
    2. Linh Hoang Khanh Dang & Carlo Giovanni Camarda & France Meslé & Nadine Ouellette & Jean-Marie Robine & Jacques Vallin, 2023. "The question of the human mortality plateau: Contrasting insights by longevity pioneers," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 48(11), pages 321-338.
    3. Edouard Debonneuil & Anne Eyraud-Loisel & Frédéric Planchet, 2017. "Conditions Of Interest Of A Longevity Megafund For Pension Funds," Working Papers hal-01571937, HAL.
    4. D. Dragone & H. Strulik, 2017. "Human Health and Aging over an Infinite Time Horizon," Working Papers wp1104, Dipartimento Scienze Economiche, Universita' di Bologna.
    5. Gustavo Soutinho & Luís Meira-Machado, 2023. "Nonparametric estimation of the distribution of gap times for recurrent events," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 32(1), pages 103-128, March.
    6. Filipe Costa Souza & Wilton Bernardino & Silvio C. Patricio, 2024. "How life-table right-censoring affected the Brazilian social security factor: an application of the gamma-Gompertz-Makeham model," Journal of Population Research, Springer, vol. 41(3), pages 1-38, September.
    7. Nicole L. Van Der Gaag & Govert Ewout Bijwaard & Joop de Beer & Luc Bonneux, 2015. "A multistate model to project elderly disability in case of limited data," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 32(3), pages 75-106.
    8. Melinda Heinz & Nicholas Cone & Grace Da Rosa & Alex J. Bishop & Tanya Finchum, 2017. "Examining Supportive Evidence for Psychosocial Theories of Aging within the Oral History Narratives of Centenarians," Societies, MDPI, vol. 7(2), pages 1-21, April.
    9. Yu Zheng & Tianxi Cai, 2017. "Augmented estimation for t‐year survival with censored regression models," Biometrics, The International Biometric Society, vol. 73(4), pages 1169-1178, December.
    10. Duncan Gillespie & Meredith Trotter & Shripad Tuljapurkar, 2014. "Divergence in Age Patterns of Mortality Change Drives International Divergence in Lifespan Inequality," Demography, Springer;Population Association of America (PAA), vol. 51(3), pages 1003-1017, June.
    11. Gregorio Gimenez & Ana Isabel Gil-Lacruz & Marta Gil-Lacruz, 2021. "Is Happiness Linked to Subjective Life Expectancy? A Study of Chilean Senior Citizens," Mathematics, MDPI, vol. 9(17), pages 1-12, August.
    12. Kashnitsky, Ilya, 2017. "A cohort is not representative of humanity," OSF Preprints 524kg, Center for Open Science.
    13. Edouard Debonneuil & Anne Eyraud-Loisel & Frédéric Planchet, 2018. "Can Pension Funds Partially Manage Longevity Risk by Investing in a Longevity Megafund?," Risks, MDPI, vol. 6(3), pages 1-27, July.
    14. Ungolo, Francesco & Kleinow, Torsten & Macdonald, Angus S., 2020. "A hierarchical model for the joint mortality analysis of pension scheme data with missing covariates," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 68-84.
    15. Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018. "Longevity risk and capital markets: The 2015–16 update," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
    16. Felipe Vásquez & Gibran Vita & Daniel B. Müller, 2018. "Food Security for an Aging and Heavier Population," Sustainability, MDPI, vol. 10(10), pages 1-19, October.
    17. Castellares, Fredy & Patrício, Silvio C. & Lemonte, Artur J. & Queiroz, Bernardo L., 2020. "On closed-form expressions to Gompertz–Makeham life expectancy," Theoretical Population Biology, Elsevier, vol. 134(C), pages 53-60.
    18. McCarthy, David G. & Wang, Po-Lin, 2021. "Pooling mortality risk in Eurozone state pension liabilities: An application of a Bayesian coherent multi-population cohort-based mortality model," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 459-485.
    19. Iñigo Calvo-Sotomayor & Ekhi Atutxa & Ricardo Aguado, 2020. "Who Is Afraid of Population Aging? Myths, Challenges and an Open Question from the Civil Economy Perspective," IJERPH, MDPI, vol. 17(15), pages 1-17, July.
    20. Bin Qiu & Wei Guo & Fan Zhang & Fang Lv & Ying Ji & Yue Peng & Xiaoxi Chen & Hua Bao & Yang Xu & Yang Shao & Fengwei Tan & Qi Xue & Shugeng Gao & Jie He, 2021. "Dynamic recurrence risk and adjuvant chemotherapy benefit prediction by ctDNA in resected NSCLC," Nature Communications, Nature, vol. 12(1), pages 1-11, December.

    More about this item

    Keywords

    Hazard function; Health data; Mortality; Population health; Landmark analysis; Gompertz distribution;
    All these keywords.

    JEL classification:

    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • I13 - Health, Education, and Welfare - - Health - - - Health Insurance, Public and Private

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:96:y:2021:i:c:p:222-231. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.