Modelling Mortality with Actuarial Applications
Stephen J Richards author Angus S Macdonald author Iain D Currie author
Format:Hardback
Publisher:Cambridge University Press
Published:3rd May '18
Currently unavailable, and unfortunately no date known when it will be back
Modern mortality modelling for actuaries and actuarial students, with example R code, to unlock the potential of individual data.
Actuaries modelling mortality have, until now, mostly used methods based on aggregate data. This book explains to practitioners how to build and test models based on the individual person, with plenty of example R code. Students will also find it helpful in preparation for their professional examinations.Actuaries have access to a wealth of individual data in pension and insurance portfolios, but rarely use its full potential. This book will pave the way, from methods using aggregate counts to modern developments in survival analysis. Based on the fundamental concept of the hazard rate, Part I shows how and why to build statistical models, based on data at the level of the individual persons in a pension scheme or life insurance portfolio. Extensive use is made of the R statistics package. Smooth models, including regression and spline models in one and two dimensions, are covered in depth in Part II. Finally, Part III uses multiple-state models to extend survival models beyond the simple life/death setting, and includes a brief introduction to the modern counting process approach. Practising actuaries will find this book indispensable, and students will find it helpful when preparing for their professional examinations.
'This book is an excellent companion to Actuarial Mathematics for Life Contingent Risks (Dickson, Hardy and Waters) because it provides concrete applications of the theory of survival. The authors cover a lot of ground in a friendly, accessible style with real examples. Actuaries - both students and practitioners - can learn a great deal from this book.' Ian Duncan, University of California, Santa Barbara
'I taught the analysis of survival data to demographers and actuarial students for many years, and my task would have been made a great deal easier had a book like this been available. It covers the essential elements in a way that is both intellectually satisfying (starting with the fundamental concepts and building on these) and focused on the analysis of empirical data. The methods described are modern, state-of-the art approaches. Moreover, because the book provides readers with a sound understanding of the theory underlying these methods, they will be well equipped to take on board future developments, even in a fast-moving field. I can recommend this book for advanced undergraduate and Masters-level students studying actuarial science, demographic methods and related areas of statistics.' Andrew Hinde, University of Southampton
'A wonderfully comprehensive piece of work from leading experts in the field. Essential reading for anyone with an interest in longevity modelling.' Richard Willets, ReAssure Ltd.
ISBN: 9781107045415
Dimensions: 235mm x 158mm x 20mm
Weight: 740g
384 pages