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}
}
  • S. Richards
  • Published 2012
  • Mathematics
  • Scandinavian Actuarial Journal
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… Expand
Survival Models for Actuarial Work
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 isExpand
Modelling Mortality with Actuarial Applications
TLDR
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. Expand
The analysis and projection of mortality rates for annuity and pensions business
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. UnderExpand
Modelling of survival time of life insurance policies in India: a comparative study
TLDR
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. Expand
A Hermite-spline model of post-retirement mortality
  • S. Richards
  • Mathematics
  • Scandinavian 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. SelectionExpand
On fitting generalized linear and non-linear models of mortality
Many common models of mortality can be expressed compactly in the language of either generalized linear models or generalized non-linear models. The R language provides a description of these modelsExpand
A study of the slope of cox proportional hazard and Weibull models: simulated and real life data approach
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 WeibullExpand
Parametric joint modelling for longitudinal and survival data
TLDR
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. Expand
Modelling seasonal mortality with individual data
TLDR
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. Expand
A Bayesian joint model for zero-inflated integers and left-truncated event times with a time-varying association: Applications to senior health care.
TLDR
A large and unique dataset of insured parties aged 65 and older is used to appropriately relate the emergency care usage with mortality risk and the association parameter between both processes is expected to be age-dependent, with an unspecified association structure. Expand
...
1
2
3
4
5
...

References

SHOWING 1-10 OF 22 REFERENCES
Longevity Risk and Annuity Pricing with the Lee-Carter Model
ABSTRACT Several important classes of liability are sensitive to the direction of future mortality trends, and this paper presents some recent developments in fitting smooth models to historicalExpand
Applying Survival Models to Pensioner Mortality Data
Data from insurance portfolios and pension schemes lend themselves particularly well to the application of survival models. In addition to the traditional actuarial risk-rating factors of age, genderExpand
Modelling Survival Data in Medical Research
methods used for selection problems. Topics of these Ž ve chapters are lognormal estimation, Gaussian anamorphosis with Hermite polynomials, isofactorial models, isofactorial change of support, andExpand
Age patterns of mortality for older women: an analysis using the age-specific rate of mortality change with age.
TLDR
A mortality measure that seems useful in analyzing age patterns of death rates is proposed, which indicates the proportional increase or decrease with age in the risk of death at a given age x, and is called the age-specific rate of mortality change with age. Expand
Nonparametric Estimation from Incomplete Observations
Abstract In lifetesting, medical follow-up, and other fields the observation of the time of occurrence of the event of interest (called a death) may be prevented for some of the items of the sampleExpand
Modelling Survival Data in Medical Research
TLDR
This paper discusses the design of clinical trials, use of computer software in survival analysis, and some non-parametric procedures for modelling survival data. Expand
On Some Experiments in the Graduation of Mortality Statistics
In these days of continuous change in mortality, with the necessity of forecasting in many of our operations, a paper concerned with the graduation of mortality statistics may appear to be academic,Expand
On the Law of Mortality and the Construction of Annuity Tables
Most writers on the subject of life annuities have had occasion to lament the paucity of tables available for the performance of calculations involving two or more lives. The late Mr. David Jones hasExpand
Two-Parameter Logistic and Weibull Equations Provide Better Fits to Survival Data From Isogenic Populations of Caenorhabditis elegans in Axenic Culture Than Does the Gompertz Model
TLDR
It is concluded that life expectancy is genetically determined; the life span-altering mutations reported in this study define a novel mean life span, but do not appear to fundamentally alter the aging process. Expand
Statistical Modelling in GLIM.
TLDR
This chapter discusses the development of GLIM directives system defined structures in GLIM datasets and macros, and the use of regression models for calibration fatorial designs midding data. Expand
...
1
2
3
...