Studies from University of Amsterdam Provide New Data on Actuarial Science (A Bayesian Joint Model For Population And Portfolio-specific Mortality)

By a News Reporter-Staff News Editor at Insurance Weekly News -- A new study on Science - Actuarial Science is now available. According to news originating from Amsterdam, Netherlands, by VerticalNews correspondents, research stated, "Insurance companies and pension funds must value liabilities using mortality rates that are appropriate for their portfolio. These can only be estimated in a reliable way from a sufficiently large historical dataset for such portfolios, which is often not available."

Our news journalists obtained a quote from the research from the University of Amsterdam, "We overcome this problem by introducing a model to estimate portfolio-specific mortality simultaneously with population mortality. By using a Bayesian framework, we automatically generate the appropriate weighting for the limited statistical information in a given portfolio and the more extensive information that is available for the whole population. This allows us to separate parameter uncertainty from uncertainty due to the randomness in individual deaths for a given realization of mortality rates. When we apply our method to a dataset of assured lives in England and Wales, we find that different prior specifications for the portfolio-specific factors lead to significantly different posterior distributions for hazard rates."

According to the news editors, the research concluded: "However, in short-term predictive distributions for future numbers of deaths, individual mortality risk turns out to be more important than parameter uncertainty in the portfolio-specific factors, both for large and for small portfolios."

For more information on this research see: A Bayesian Joint Model For Population And Portfolio-specific Mortality. Astin Bulletin, 2017;47(3):681-713. Astin Bulletin can be contacted at: Cambridge Univ Press, Edinburgh Bldg, Shaftesbury Rd, CB2 8RU Cambridge, England.

The news correspondents report that additional information may be obtained from F. van Berkum, University of Amsterdam, Fac Econ & Business, Amsterdam, Netherlands. Additional authors for this research include K. Antonio and M. Vellekoop.

Keywords for this news article include: Amsterdam, Netherlands, Europe, Actuarial Science, Science, Risk and Prevention, University of Amsterdam.

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