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Survival analysis of pension scheme mortality when data are missing

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  • Francesco Ungolo
  • Marcus C. Christiansen
  • Torsten Kleinow
  • Angus S. MacDonald

Abstract

Missing data is a problem that may be faced by actuaries when analysing mortality data. In this paper we deal with pension scheme data, where the future lifetime of each member is modelled by means of parametric survival models incorporating covariates, which may be missing for some individuals. Parameters are estimated by likelihood-based techniques. We analyse statistical issues, such as parameter identifiability, and propose an algorithm to handle the estimation task. Finally, we analyse the financial impact of including covariates maximally, compared with excluding parts of the mortality experience where data are missing; in particular we consider annuity factors and mis-estimation risk capital requirements.

Suggested Citation

  • Francesco Ungolo & Marcus C. Christiansen & Torsten Kleinow & Angus S. MacDonald, 2019. "Survival analysis of pension scheme mortality when data are missing," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2019(6), pages 523-547, July.
    • Handle: RePEc:taf:sactxx:v:2019:y:2019:i:6:p:523-547
    DOI: 10.1080/03461238.2019.1580610
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