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Extended risk classification in insurance industry

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  • M. Moghadam

Abstract

Recently extended risk classification has become an important issue in life insurance and annuity markets. Using various risk factors, one can construct various risk classes. This enables insurers to provide more equitable life insurance and annuity benefits for individuals in different risk classes and to manage mortality/longevity risk more efficiently. This article discusses the development of a mortality model that reflects the impact of various risk factors on mortality. The model uses Markov process combined with generalized linear models. The model is used to illustrate how the various risk factors influence actuarial present values of life insurance and annuity benefits. Copyright Springer Science+Business Media B.V. 2013

Suggested Citation

  • M. Moghadam, 2013. "Extended risk classification in insurance industry," Quality & Quantity: International Journal of Methodology, Springer, vol. 47(3), pages 1385-1396, April.
    • Handle: RePEc:spr:qualqt:v:47:y:2013:i:3:p:1385-1396
    DOI: 10.1007/s11135-011-9596-9
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    References listed on IDEAS

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    1. Macdonald, A.S., 1996. "An Actuarial Survey of Statistical Models for Decrement and Transition Data - I: Multiple State, Poisson and Binomial Models," British Actuarial Journal, Cambridge University Press, vol. 2(1), pages 129-155, April.
    2. Kwon, Hyuk-Sung & Jones, Bruce L., 2006. "The impact of the determinants of mortality on life insurance and annuities," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 271-288, April.
    3. Macdonald, A.S., 1996. "An Actuarial Survey of Statistical Models for Decrement and Transition Data, III. Counting Process Models," British Actuarial Journal, Cambridge University Press, vol. 2(3), pages 703-726, August.
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