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Weighted Mortality Rates as Early Warning Signals for Insurance Companies

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  • Roberts, Leigh A.

Abstract

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.

Suggested Citation

  • Roberts, Leigh A., 1993. "Weighted Mortality Rates as Early Warning Signals for Insurance Companies," ASTIN Bulletin, Cambridge University Press, vol. 23(2), pages 273-286, November.
    • Handle: RePEc:cup:astinb:v:23:y:1993:i:02:p:273-286_01
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