Coherent extrapolation of mortality rates at old ages applied to Long Term Care - CNRS - Centre national de la recherche scientifique Accéder directement au contenu
Pré-Publication, Document De Travail (Preprint/Prepublication) Année : 2023

Coherent extrapolation of mortality rates at old ages applied to Long Term Care

Résumé

In an insurance context, Long-Term Care (LTC) products cover the risk of permanent loss of autonomy, which is defined by the impossibility or difficulty of performing alone all or part of the activities of daily living (ADL). From an actuarial point of view, knowledge of risk depends on knowledge of the underlying biometric laws, including the mortality of autonomous insureds and the mortality of disabled insureds. Due to the relatively short history of LTC products and the age limit imposed at underwriting, insurers lack information at advanced ages. This represents a challenge for actuaries, making it difficult to estimate those biometric laws. In this paper, we propose to complete the missing information at advanced ages on the mortality of autonomous and disabled insured populations using information on the global mortality of the portfolio. In fact, the three previous mortality laws are linked since the portfolio is composed only of autonomous and disabled policyholders. We model the two mortality laws (deaths in autonomy and deaths in LTC) in a Poisson Generalized Linear Model framework, additionally using the P-Splines smoothing method. A constraint is then included to link the mortality laws of the two groups and the global mortality of the portfolio. This new method allows for estimating and extrapolating both mortality laws simultaneously in a consistent manner.
Fichier principal
Vignette du fichier
bouclage_paper_2.pdf (810.26 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-04170255 , version 1 (25-07-2023)

Identifiants

  • HAL Id : hal-04170255 , version 1

Citer

Léonie Le Bastard. Coherent extrapolation of mortality rates at old ages applied to Long Term Care. 2023. ⟨hal-04170255⟩
373 Consultations
63 Téléchargements

Partager

Gmail Facebook X LinkedIn More