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Weighted Mortality Rates as Early Warning Signals for Insurance Companies

Published online by Cambridge University Press:  29 August 2014

Leigh A. Roberts
Leigh A. Roberts*
Affiliation:
Institute of Statistics and Operations Research, Victoria University, Wellington, New Zealand
*
Institute of Statistics and Operations Research, Victoria University of Wellington, P.O. Box 600, Wellington, New Zealand
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Abstract

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Weighted mortality rates are commonly used in actuarial work, but the inter-relationship between the weights used and the underlying mortality rates seems not to have been widely investigated.

Calculation of the ratio of weighted mortality rates to conventional mortality rates provides a simple means for an insurance company to track changes in the underlying mortality of its portfolio over time, and acts as an early warning system for possible deterioration of underwriting results. Asymptotic distributions are found for this ratio, and for the mortality rates themselves. It is suggested that insurance companies commence to gather data for the calculation of this ratio for the insurance sector as a whole, for the main annuity and assurance classes.

Keywords

Asymptotic distributiondecremental ratesearly warning signalsinsuranceratio of weighted to unweighted mortality ratessums at riskunderlying mortality trendsweighted mortality rates
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 23 , Issue 2 , November 1993 , pp. 273 - 286
Copyright
Copyright © International Actuarial Association 1993

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