Mortality : a statistical approach to detect model misspecification
AbstractThe Solvency 2 advent and the best-estimate methodology in future cash-ﬂows valuation lead insurers to focus particularly on their assumptions. In mortality, hypothesis are critical as insurers use best-estimate laws instead of standard mortality tables. Backtesting methods, i.e. ex-post modelling validation processes, are encouraged by regulators and rise an increasing interest among practitioners and academics. In this paper, we propose a statistical approach (both parametric and non-parametric models compliant) for mortality laws backtesting under model risk. Afterwards, we'll introduce a speciﬁcation risk supposing the mortality law true in average but subject to random variations. Finally, the suitability of our method will be assessed within this framework.
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Bibliographic InfoPaper provided by HAL in its series Post-Print with number hal-00839339.
Date of creation: 23 Jun 2013
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Publication status: Published - Presented, AFIR Colloquium, 2013, Lyon, France
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-07-15 (All new papers)
- NEP-DEM-2013-07-15 (Demographic Economics)
- NEP-ECM-2013-07-15 (Econometrics)
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