Hostname: page-component-848d4c4894-nmvwc Total loading time: 0 Render date: 2024-06-24T11:50:37.563Z Has data issue: false hasContentIssue false
  • English
  • Français

On modelling select mortality

Published online by Cambridge University Press:  20 April 2012

I. D. Currie  and
H. R. Waters
Get access Rights & Permissions [Opens in a new window]

Abstract

In this paper we present an approach to the graduation of select mortality data and we illustrate this approach by graduating the CMIB's data for Female Permanent Assurances 1979–1982. The difference between our approach and that of the CMIB is that we graduate simultaneously by attained age and duration since selection.

Keywords

GraduationMortality
Type
Research Article
Information
Journal of the Institute of Actuaries , Volume 118 , Issue 3 , 1991 , pp. 453 - 481
Copyright
Copyright © Institute and Faculty of Actuaries 1991

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Benjamin, B. & Pollard, J. H. (1980). The Analysis of Mortality and Other Actuarial Statistics. Heinemann, London.Google Scholar
CMIR 9 (1988). Report No. 9 of the Continuous Mortality Invcstigation Bureau. Faculty of Actuaries and Institute of Actuarics.Google Scholar
CMIR 10 (1990). Report No. 10 of the Continuous Mortality Investigation Bureau. Facully of Actuaries and Institute of Actuaries.Google Scholar
Currie, I. D. (1990). Discussion of ‘On graduation by mathematical formula’ by D. O. Forfar, J. J. McCutcheon & A. D. Wilkie. T.F.A. 41, 97–269.Google Scholar
Forfar, D. O., McCutcheon, J. J. & Wilkie, A. D. (1988). On graduation by mathematical formula. J.I.A. 115, 1–149.Google Scholar
Genstat 5 Committee. (1987). Genstat 5: Reference Manual. Clarendon Press, Oxford.Google Scholar
Joint Mortality Investigation Committee; (1974). Considerations affecting the Preparation of Standard Tables of Mortality. J.I.A. 101, 133–201.Google Scholar
Jones, B. L. & Aitken, W. H. (1990). Mortality experience of Canadian insured lives during 1982–1986. Research Report 90 08 published by the Institute of Insurance and Pension Research, University of Waterloo, Canada.Google Scholar
Lyons, T. J. (1990). Discussion of ‘On graduation by mathematical formula’ by D. O. Forfar, J. J. McCutcheon & A. D. Wilkie. T.F.A. 41, 97–269.Google Scholar
McCullagh, P. & Nelder, J. A. (1989). Generalized Linear Models, Second Edition. Chapman and Hall, London.CrossRefGoogle Scholar
Nelder, J. A. & Wedderburn, R. W. M. (1972). Generalized Linear Models. J.R. Statist. Soc., A, 135, 370–84.Google Scholar
Norberg, R. (1988). Select mortality: possible explanations. Transactions of the International Congress of Actuaries, 3, 215–23.Google Scholar
Panjer, H. H. & Russo, G. (1990). Parametric graduation of Canadian individual mortality experience: 1982–1988. Research Report 90–13 published by the Institute of Insurance and Pension Research, University of Waterloo, Canada.Google Scholar
Renshaw, A. E. (1991). Actuarial graduation practiceand generalised linear and non-linear models. J.I.A. 118, 295–312.Google Scholar
Report of The Committee on Mortality Under Ordinary Insurance and Annuities (1973). 1965–1970 Basic tables. Transactions of the Society of Actuaries, 1973 Reports, 199–223.Google Scholar
Tenenbein, A. & Vanderhoof, I. T. (1980). New mathematical laws of select and ultimate mortality. Trans. Soc. Act. XXXII, 119–158.Google Scholar