Risk Classification in Life Insurance: Extension to Continuous Covariates

This short note supplements the paper by Gschlossl et al. (2011) with an efficient method allowing actuaries to include continuous covariates in their life tables, such as the sum insured for instance. Compared to the classical approach based on grouped data adopted in the majority of actuarial mortality studies, individual observations recorded at the policy level are included in the Poisson regression model. The proposed procedure avoids any preliminary, subjective banding of the range of continuous covariates that may bias the resulting life tables.

• metadata
• relations

Document type	Document de travail (Working Paper)
Access type	Accès libre
Publication date	2016
Language	Anglais
Number of pages	6 pages
Collection	ISBA Discussion Paper - 2016/45
Affiliation	UCL - SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles
Keywords	Life tables ; Poisson regression ; GLM ; GAM
Links	http://hdl.handle.net/2078.1/179284[Handle]

See also
	[boreal:199778]	Risk classification in life and health insurance: extension to continuous covariates