Modelling Mortality with Actuarial Applications

ISBN-13: 9781107045415 / Angielski / Twarda / 2018 / 384 str.

Angus S. MacDonald; Stephen J. Richards; Iain D. Currie

Opis

Modern mortality modelling for actuaries and actuarial students, with example R code, to unlock the potential of individual data.

Recenzje

'A wonderfully comprehensive piece of work from leading experts in the field. Essential reading for anyone with an interest in longevity modelling.' Richard Willets, ReAssure Ltd.

Spis treści

Preface; Part I. Analysing Portfolio Mortality: 1. Introduction; 2. Data preparation; 3. The basic mathematical model; 4. Statistical inference with mortality data; 5. Fitting a parametric survival model; 6. Model comparison and tests of fit; 7. Modelling features of the portfolio; 8. Non-parametric methods; 9. Regulation; Part II. Regression and Projection Models: 10. Methods of graduation I – regression models; 11. Methods of graduation II – smooth models; 12. Methods of graduation III – 2-dimensional models; 13. Methods of graduation IV – forecasting; Part III. Multiple-State Models: 14. Markov multiple-state models; 15. Inference in the Markov model; 16. Competing risks models; 17. Counting-process models; Appendix A. R commands; Appendix B. Basic likelihood theory; Appendix C. Conversion to published tables; Appendix D. Numerical integration; Appendix E. Mean and variance-covariance of a vector; Appendix F. Differentiation with respect to a vector; Appendix G. Kronecker product of two matrices; Appendix H. R functions and programs; References; Author index; Index.