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Mortality Rates Smoothing Using Mixture Function

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Information Processing and Management of Uncertainty in Knowledge-Based Systems. Theory and Foundations (IPMU 2018)

Part of the book series: Communications in Computer and Information Science ((CCIS,volume 853))

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Abstract

The paper offers a description of the new method of a smoothing of the mortality rates using the so-called moving mixture functions. Mixture functions represent a special class of weighted averaging functions where weights are determined by continuous, input values dependent, weighting functions. If they are increasing, they form an important class of aggregation functions. Such mixture functions are more flexible than the standard weighted arithmetic mean, and their weighting functions allow one to penalize or reinforce inputs based on their magnitude. The advantages of this method are that the weights of the input values depend on ourselves and coefficients of weighting functions can be changed each year so that the mean square error is minimized. Moreover, the paper offers the impact of this method on the amount of whole life pension annuities.

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Notes

  1. 1.

    The term “increasing” is understood in a non-strict sense.

  2. 2.

    Council Directive 2004/113/EC, Under new rules which are entering into force, insurers in Europe will have to charge the same prices to women and men for the same insurance products without distinction on the grounds of sex.

  3. 3.

    Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II).

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Acknowledgement

The paper was supported by the Slovak Scientific Grant Agency VEGA no. 1/0093/17 Identification of risk factors and their impact on products of the insurance and savings schemes, and VEGA no. 1/0618/17 Modern tools for modelling and managing risks in life insurance.

Author information

Authors and Affiliations

  1. Faculty of Natural Sciences, Matej Bel University, Tajovského 40, 974 09, Banská Bystrica, Slovakia

    Samuel Hudec

  2. Faculty of Economics, Matej Bel University, Tajovského 10, 975 90, Banská Bystrica, Slovakia

    Jana Špirková

Authors
  1. Samuel Hudec
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  2. Jana Špirková
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Corresponding author

Correspondence to Jana Špirková .

Editor information

Editors and Affiliations

  1. Universidad de Cádiz, Cádiz, Cadiz, Spain

    Jesús Medina

  2. Universidad de Málaga, Málaga, Málaga, Spain

    Manuel Ojeda-Aciego

  3. Universidad de Granada, Granada, Spain

    José Luis Verdegay

  4. Universidad de Granada, Granada, Spain

    David A. Pelta

  5. Universidad de Málaga, Málaga, Málaga, Spain

    Inma P. Cabrera

  6. LIP6, Université Pierre et Marie Curie, CNRS, Paris, France

    Bernadette Bouchon-Meunier

  7. Iona College, New Rochelle, New York, USA

    Ronald R. Yager

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Hudec, S., Špirková, J. (2018). Mortality Rates Smoothing Using Mixture Function. In: Medina, J., et al. Information Processing and Management of Uncertainty in Knowledge-Based Systems. Theory and Foundations. IPMU 2018. Communications in Computer and Information Science, vol 853. Springer, Cham. https://doi.org/10.1007/978-3-319-91473-2_12

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  • DOI: https://doi.org/10.1007/978-3-319-91473-2_12

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  • Online ISBN: 978-3-319-91473-2

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