Work

On contemporary mortality models for actuarial use I: practice

Year: 2025

Type: article

Abstract: Actuaries must model mortality to understand, manage and price risk. Continuous-time methods offer considerable practical benefits to actuaries analysing portfolio mortality experience. This paper discusses six categories of advantage: (i) reflecting the reality of data produced by everyday business practices, (ii) modelling rapid changes in risk, (iii) modelling time- and duration-varying risk, (iv) competing risks, (v) data-quality checking and (vi) management information. Specific examples are given where continuous-time models are more useful in practice than discrete-time models.

Source: British Actuarial Journal

DOI: 10.1017/s1357321725000121

Authors: Stephen J. Richards, Angus S. Macdonald

Institutions: Heriot-Watt University, Maxwell Institute for Mathematical Sciences

Language: English

Topic: Insurance, Mortality, Demography, Risk Management

Subfield: Demography

Field: Social Sciences

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid:

OpenAlex ID: W4411569213