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European Actuarial Journal
Published in: European Actuarial Journal 1/2011

01-07-2011 | Original Research Paper

Risk classification in life insurance: methodology and case study

Authors: Susanne Gschlössl, Pascal Schoenmaekers, Michel Denuit

Published in: European Actuarial Journal | Issue 1/2011

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Abstract

In this paper, we describe how Poisson regression analysis can be efficiently used to perform graduation of mortality rates in presence of exogenous information supporting an efficient underwriting process in life insurance business. After having justified the relevance of a Poisson likelihood for mortality data, we explain how categorical and continuous covariates can be included in the model. A case study based on a German insurance portfolio is proposed to illustrate the usefulness of the approach described in this paper.
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Metadata
Title
Risk classification in life insurance: methodology and case study
Authors
Susanne Gschlössl
Pascal Schoenmaekers
Michel Denuit
Publication date
01-07-2011
Publisher
Springer-Verlag
Published in
European Actuarial Journal / Issue 1/2011
Print ISSN: 2190-9733
Electronic ISSN: 2190-9741
DOI
https://doi.org/10.1007/s13385-011-0028-y

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