Mortality : a statistical approach to detect model misspecificationReportar como inadecuado

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1 SAF - Laboratoire de Sciences Actuarielle et Financière

Abstract : 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.

Autor: Jean-Charles Croix - Frédéric Planchet - Pierre-Emmanuel Thérond -



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