The series is a vehicle for publishing books that reflect changes and developments in the curriculum, that encourage the introduction of courses on actuarial science in universities, and that show how actuarial science can be used in all areas where there is long-term financial risk.
I N T E R NAT I O NA L S E R I E S O N AC T UA R I A L S C I E N C E Editorial Board Christopher Daykin (Independent Consultant and Actuary) Angus Macdonald (Heriot-Watt University) The International Series on Actuarial Science, published by Cambridge University Press in conjunction with the Institute and Faculty of Actuaries, contains textbooks for students taking courses in or related to actuarial science, as well as more advanced works designed for continuing professional development or for describing and synthesising research. As a statistician, he was chiefly responsible for the development of the spline models described in this book, and their application to actuarial problems. c u r r i e is an Honorary Research Fellow at Heriot-Watt University, Edinburgh.
r i c h a r d s is an actuary and principal of Longevitas Ltd., Edinburgh, a software and consultancy firm that uses many of the models described in this book with life insurance and pension scheme clients worldwide. He is an actuary with much experience of modelling mortality and other life histories, particularly in connection with genetics, and as a member of Continuous Mortality Investigation committees. m ac d o na l d is Professor of Actuarial Mathematics at Heriot-Watt University, Edinburgh. Practising actuaries will find this book indispensable and students will find it helpful when preparing for their professional examinations. Finally, Part Three uses multiple-state models to extend survival models beyond the simple life/death setting, and includes a brief introduction to the modern counting process approach. Smooth models, including regression and spline models in one and two dimensions, are covered in depth in Part Two. Extensive use is made of the R statistics package. Based on the fundamental concept of the hazard rate, Part One shows how and why to build statistical models based on data at the level of the individual persons in a pension scheme or life insurance portfolio. This book will pave the way, from methods using aggregate counts to modern developments in survival analysis.
Modelling Mortality with Actuarial Applications Actuaries have access to a wealth of individual data in pension and insurance portfolios, but rarely use its full potential. Differentiation with respect to a vectorĪppendix G. Mean and variance-covariance of a vectorĪppendix F. Conversion to published tablesĪppendix E. Methods of graduation III - 2-dimensional modelsġ3. Methods of graduation II - smooth modelsġ2. Methods of graduation I - regression modelsġ1. Statistical inference with mortality data