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Constructing entity specific projected mortality table: adjustment to a reference

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Abstract

This article presents an operational framework for constructing and validating projected mortality table specific to an insurer. We describe several methods of increasing complexity and the process of validation allowing an insurer to adjust a baseline mortality to get closer to a best estimate assessment of its mortality and longevity risk. They provide to the insurer some latitude of choice while preserving simplicity of implementation for the basic methodology. The methodologies articulate around an iterative procedure allowing to choose parsimoniously the most satisfying one. The process of validation is assessed on three levels. This concerns the proximity between the observations and the model, the regularity of the fit as well as the plausibility and consistency of the mortality trends. Finally, the procedure is illustrated from experience data originating from a French Insurance portfolio.

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Acknowledgments

This article has benefitted substantially from the constructive comments of the working group mortalité of Institut des Actuaires. This research was supported by grants from BNP Paribas Cardif Chair Management de la modélisation and Institut des Actuaires. In addition, we are also grateful to a referee for a careful reading of the manuscript and comments which led to an improved version of the paper.

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Authors and Affiliations

  1. Institut de Science Financière et d’Assurances, Université Claude Bernard Lyon 1, 50 Avenue Tony Garnier, 69366, Lyon, France

    Julien Tomas & Frédéric Planchet

Authors
  1. Julien Tomas
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  2. Frédéric Planchet
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ISFA, Laboratoire SAF

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Correspondence to Julien Tomas.

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The views expressed in this document are the authors own and do not necessarily reflect those endorsed by BNP Paribas Cardif and Institut des Actuaires.

Appendix A: The data

Appendix A: The data

Table 12 presents the observed characteristics of the male and female population.

Table 12 Observed characteristics of the male and female population of the portfolio
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Figures 13 and 14 display the observed statistics of the male and female population respectively.

Fig. 13
figure 13

Observed satistics, male population

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Fig. 14
figure 14

Observed satistics, female population. a D x,t , b E x,t , c logq x (t)

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Tomas, J., Planchet, F. & ISFA, Laboratoire SAF. Constructing entity specific projected mortality table: adjustment to a reference. Eur. Actuar. J. 4, 247–279 (2014). https://doi.org/10.1007/s13385-014-0095-y

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  • DOI: https://doi.org/10.1007/s13385-014-0095-y

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