Risk classification in life insurance: methodology and case study

被引：7

作者：

Gschlössl S. ^{[1
]}

Schoenmaekers P. ^{[1
]}

Denuit M. ^{[2
]}

机构：

[1] Munich Reinsurance Company, Divisional Unit: Life, Munich

[2] Institut de statistique, biostatistique et sciences actuarielles (ISBA), Université Catholique de Louvain, Louvain-la-Neuve

来源：

European Actuarial Journal | 2011年 / 1卷 / 1期

关键词：

Life Table; Poisson Regression; Product Type; Life Insurance; Smoothing Window;

D O I：

10.1007/s13385-011-0028-y

中图分类号：

学科分类号：

摘要：

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. © 2011, DAV / DGVFM.

引用

页码：23 / 41

页数：18

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