کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077550 | 1477223 | 2007 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Bayesian graduation of mortality rates: An application to reserve evaluation
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Bayesian graduation of mortality rates: An application to reserve evaluation Bayesian graduation of mortality rates: An application to reserve evaluation](/preview/png/5077550.png)
چکیده انگلیسی
This paper presents Bayesian graduation models of mortality rates, using Markov chain Monte Carlo (MCMC) techniques. Graduated annual death probabilities are estimated through the predictive distribution of the number of deaths, which is assumed to follow a Poisson process, considering that all individuals in the same age class die independently and with the same probability. The resulting mortality tables are formulated through dynamic Bayesian models. Calculation of adequate reserve levels is exemplified, via MCMC, making use of the value at risk concept, demonstrating the importance of using “true” observed mortality figures for the population exposed to risk in determining the survival coverage rate.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 40, Issue 3, May 2007, Pages 424-434
Journal: Insurance: Mathematics and Economics - Volume 40, Issue 3, May 2007, Pages 424-434
نویسندگان
César da Rocha Neves, Helio S. Migon,