Mortality : a statistical approach to detect model misspecification
The 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.
|Date of creation:||23 Jun 2013|
|Date of revision:|
|Publication status:||Published - Presented, AFIR Colloquium, 2013, Lyon, France|
|Note:||View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00839339|
|Contact details of provider:|| Web page: http://hal.archives-ouvertes.fr/ |
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