Original Research Paper

European Actuarial Journal

, Volume 1, Issue 1, pp 23-41

First online:

Risk classification in life insurance: methodology and case study

  • Susanne GschlösslAffiliated withMunich Reinsurance Company, Divisional Unit: Life
  • , Pascal SchoenmaekersAffiliated withMunich Reinsurance Company, Divisional Unit: Life
  • , Michel DenuitAffiliated withInstitut de statistique, biostatistique et sciences actuarielles (ISBA), Université Catholique de Louvain Email author 

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In this paper, we describe how Poisson regression analysis can be efficiently used to perform graduation of mortality rates in presence of exogenous information supporting an efficient underwriting process in life insurance business. After having justified the relevance of a Poisson likelihood for mortality data, we explain how categorical and continuous covariates can be included in the model. A case study based on a German insurance portfolio is proposed to illustrate the usefulness of the approach described in this paper.