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No calculation without representation

You are in charge of systems programming for an insurer writing disability insurance.  It is your job to write reporting modules to meet the needs of the actuaries, claims managers, accountants and so on.  Where to start?

The data would seem to be a good place.  I'll take it as read what kind of data the business will generate.  The question is how to represent it for efficient use in our programs - something we worry about so that the user doesn't have to.

Written by: Angus MacdonaldTags: Filter information matrix by tag: data representation, Filter information matrix by tag: sample paths, Filter information matrix by tag: counting process, Filter information matrix by tag: marked point processes

Right-Censoring Rules!

A fundamental assumption underlying most modern presentations of mortality modelling (see our new book) is that the future lifetime of a person now age \(x\) can be represented as a non-negative random variable \(T_x\). The actuary's standard functions can then be defined in terms of the distribution of \(T_x\), for example:

\[{}_tp_x = \Pr[ T_x > t ].\]

Written by: Angus MacdonaldTags: Filter information matrix by tag: survival analysis, Filter information matrix by tag: right-censoring, Filter information matrix by tag: counting process