Top

European Actuarial Journal

Published in:

06-05-2021 | Letters

A new measure of mortality differentials based on precedence probability

Authors: Meitner Cadena, Michel Denuit

Published in: European Actuarial Journal | Issue 2/2021

Activate our intelligent search to find suitable subject content or patents.

search-config

AI-assisted search

Off

Abstract

This short note aims to propose a new comparison measure for life tables: the age shift needed to restore equality of survival chance as measured by the precedence probability. Mortality by household income in France and by generation in Belgium is used as an illustration.

previous article On the risk consistency and monotonicity of ruin theory

next article Equivalence principle and Jewell’s inequality

Dont have a licence yet? Then find out more about our products and how to get one now:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

über 102.000 Bücher
über 537 Zeitschriften

aus folgenden Fachgebieten:

Automobil + Motoren
Bauwesen + Immobilien
Business IT + Informatik
Elektrotechnik + Elektronik
Energie + Nachhaltigkeit
Finance + Banking
Management + Führung
Marketing + Vertrieb
Maschinenbau + Werkstoffe
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

inform now

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

über 67.000 Bücher
über 340 Zeitschriften

aus folgenden Fachgebieten:

Bauwesen + Immobilien
Business IT + Informatik
Finance + Banking
Management + Führung
Marketing + Vertrieb
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

inform now

Arcones M, Kvam P, Samaniego FJ (2002) On nonparametric estimation of distributions subject to a stochastic precedence constraint. J Am Stat Assoc 97:170–182MathSciNetCrossRef

Blanpain N (2018) L’espérance de vie par niveau de vie. Méthode et principaux résultats. In: INSEE, Document de Travail F1801. http://www.epsilon.insee.fr/

Boland PJ, Singh H, Cukic B (2004) The stochastic precedence ordering with applications in sampling and testing. J Appl Probab 41:73–82MathSciNetCrossRef

Brown GG, Rutemiller HC (1973) Evaluation of Pr\(\{X\ge Y\}\) when both \(X\) and \(Y\) are from three-parameter Weibull distributions. IEEE Trans Reliab 22:78–82MathSciNetCrossRef

Cadena M, Denuit M (2016) Semi-parametric accelerated hazard relational models with applications to mortality projections. Insur Math Econ 68:1–16MathSciNetCrossRef

Denuit M (2008) Weakness of the actuarial equivalence principle for personal injury and fatal accidents compensation. Pravartak (Indian J Insurance Risk Manag) 3:56–58

Denuit M, Trufin J (2019) Des tables de mortalité, espérances de vie, durées de vie moyennes et probables et de leur bon usage dans l’évaluation des droits viagers. Revue du Notariat Belge 3142:574–608

De Santis E, Fantozzi F, Spizzichino F (2015) Relations between stochastic orderings and generalized stochastic precedence. Probab Eng Inf Sci 29:329–343MathSciNetCrossRef

Finkelstein M (2013) On some comparisons of lifetimes for reliability analysis. Reliab Eng Syst Saf 119:300–304CrossRef

10.

Hyndman RJ, Khandakar Y (2008) Automatic Time Series Forecasting: The forecast Package for R. J Stat Softw 27:1–23CrossRef

11.

Lee RD, Carter L (1992) Modelling and forecasting the time series of US mortality. J Am Stat Assoc 87:659–671

12.

Navarro J, Rubio R (2010) Comparisons of coherent systems using stochastic precedence. TEST 19:469–486MathSciNetCrossRef

13.

Pitacco E, Denuit M, Haberman S, Olivieri A (2009) Modelling Longevity dynamics for pensions and annuity business. Oxford University Press, OxfordMATH

14.

Villegas AM, Kaishev VK, Millossovich P (2018) StMoMo: an R package for stochastic mortality modeling. J Stat Softw 84:1–38CrossRef

Title: A new measure of mortality differentials based on precedence probability
Authors: Meitner Cadena
Michel Denuit
Publication date: 06-05-2021
Publisher: Springer Berlin Heidelberg
Published in: European Actuarial Journal / Issue 2/2021
Print ISSN: 2190-9733
Electronic ISSN: 2190-9741
DOI: https://doi.org/10.1007/s13385-021-00280-3

Springer Professional

Abstract

Please log in to get access to your license.

Dont have a licence yet? Then find out more about our products and how to get one now:

Springer Professional "Wirtschaft+Technik"

Springer Professional "Wirtschaft"

Other articles of this Issue 2/2021

Correction to: The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration

An individual claims reserving model for reported claims

Discussion on “Exchangeable mortality projection” (Shapovalov et al.)

Discussion on “Measuring profitability of life insurance products under Solvency II” (Rödel et al.)

Modelling and forecasting mortality improvement rates with random effects

Two-part models for assessing misrepresentation on risk status