A Bayesian non-parametric model for small population mortality - HAL Accéder directement au contenu
Article dans une revue Scandinavian Actuarial Journal Année : 2018

A Bayesian non-parametric model for small population mortality

Hong Li

Résumé

This paper proposes a Bayesian non-parametric mortality model for a small population, when a benchmark mortality table is also available and serves as part of the prior information. In particular, we extend the Poisson-gamma model of Hardy and Panjer to incorporate correlated and age-specific mortality coefficients. These coefficients, which measure the difference in mortality levels between the small and the benchmark population, follow an age-indexed autoregressive gamma process, and can be stochastically extrapolated to ages where the small population has no historical exposure. Our model substantially improves the computation efficiency of existing two-population Bayesian mortality models by allowing for closed form posterior mean and variance of the future number of deaths, and an efficient sampling algorithm for the entire posterior distribution. We illustrate the proposed model with a life insurance portfolio from a French insurance company.
Fichier principal
Vignette du fichier
A Bayesian non-parametric model for small population mortality (1).pdf ( 3.41 Mo ) Télécharger
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-02419000, version 1 (19-12-2019)

Identifiants

Citer

Hong Li, Yang Lu. A Bayesian non-parametric model for small population mortality. Scandinavian Actuarial Journal, 2018, 2018 (7), pp.605-628. ⟨10.1080/03461238.2017.1418420⟩. ⟨hal-02419000⟩
79 Consultations
164 Téléchargements
Dernière date de mise à jour le 07/04/2024
comment ces indicateurs sont-ils produits

Altmetric

Partager

Gmail Facebook Twitter LinkedIn Plus