# A handbook of parametric survival models for actuarial use

@article{Richards2012AHO, title={A handbook of parametric survival models for actuarial use}, author={Stephen J. Richards}, journal={Scandinavian Actuarial Journal}, year={2012}, volume={2012}, pages={233 - 257} }

Traditional actuarial techniques for mortality analysis are being supplanted by statistical models. Chief amongst these are survival models, which model mortality continuously at the level of the individual. An assumption of a mathematical form for the hazard function or, equivalently, the assumption of a continuous distribution for an individual's lifetime, leads automatically to smooth fitted mortality rates. This note gives an overview of the survival models commonly found in statistical…

## 49 Citations

Survival Models for Actuarial Work

- Environmental Science
- 2011

This article gives an overview of survival models and their advantages for actuarial work, specifically for modelling mortality and longevity risk. Data collected and analysed by actuaries is…

Modelling Mortality with Actuarial Applications

- Economics
- 2018

This book will pave the way, from methods using aggregate counts to modern developments in survival analysis, for actuaries, and students will find it helpful when preparing for their professional examinations.

The analysis and projection of mortality rates for annuity and pensions business

- Economics
- 2012

Longevity risk is a major issue for the developed world. As both mortality rates and birth rates fall, the increasing burden of providing for retirees falls on a smaller working population. Under…

Modelling of survival time of life insurance policies in India: a comparative study

- EconomicsInt. J. Syst. Assur. Eng. Manag.
- 2021

A comparative study between survival models and actuarial model to model persistency, so that the validity and robustness of the actuarial models may be established in case of analyzing the insurance phenomenon.

A Hermite-spline model of post-retirement mortality

- EconomicsScandinavian Actuarial Journal
- 2019

ABSTRACT We present a model for post-retirement mortality where differentials automatically reduce with increasing age, but without the fitted mortality rates for subgroups crossing over. Selection…

On fitting generalized linear and non-linear models of mortality

- Computer Science
- 2016

This work compares eight model structures for mortality in the R language and discusses the possibility of forecasting with these models; in particular, the introduction of cohort terms generally leads to an improvement in overall fit, but can also make forecasting withThese models problematic.

A study of the slope of cox proportional hazard and Weibull models: simulated and real life data approach

- Mathematics
- 2016

Parametric models require that the distribution of survival time is known and the hazard function is completely specified except for the values of the unknown parameters. These include the Weibull…

Parametric joint modelling for longitudinal and survival data

- Mathematics, Business
- 2016

The joint model proposed here considers left-truncation and right-censoring, which can cause bias in joint modelling studies, and the use of parametric survival models is proposed.

Modelling seasonal mortality with individual data

- Environmental Science, EconomicsScandinavian Actuarial Journal
- 2020

It is found that seasonal effects are generally uncorrelated with gender, but that low-income pensioners can suffer greater seasonal swings than high-income ones, and a single-parameter measure is proposed for the extent to which winter mortality is a spike and summer mortality isA shallower trough.

A value-at-risk approach to mis-estimation risk

- EconomicsBritish Actuarial Journal
- 2021

A methodology for viewing mis-estimation risk over a fixed time frame is presented, and it is found that much of the so-called mis-ESTimation risk in a one-year value-at-risk assessment can actually be driven by idiosyncratic variation, rather than parameter uncertainty.

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