Risk classification in life and health insurance: extension to continuous covariates. (English) Zbl 1416.91170
Summary: This short note supplements the paper by S. Gschlössl et al. [“Risk classification in life insurance: methodology and case study”, ibid. 1, No. 1, 23–41 (2011; doi:10.1007/s13385-011-0028-y)] 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. The approach is illustrated on a numerical example demonstrating its advantages when individual mortality data are available.
MSC:
| 91B30 | Risk theory, insurance (MSC2010) |
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
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