The Level of Mortality in Insured Populations (original) (raw)

2018

Abstract

In the actuarial field, life tables are used in reserving and pricing processes. They are commonly built from aggregate data and incorporate margins as a prudent measure to ensure the insurance company’s viability. Solvency II requires insurance companies to calculate technical provisions using best-estimate assumptions for future experience (mortality, expenses, lapses, etc) to separate (i) the risk-free component from (ii) adverse deviation of claims. Nowadays, however, the methods used by insurance companies (in most countries, included Spain) do not guarantee that these components can be separated. Many companies build their own tables from general insured population life tables, assuming certain restrictive hypotheses. In this paper, we develop a new cohort-based estimator to build life tables based on individual company experience. We apply it to a real database and find that the proposed methodology improves classical approaches. The described procedure is of application in those countries covered by the Solvency II and IFRS 17 regulatory frameworks.

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