Out of line

(Aug 20, 2013)

Regular readers of this blog will be in no doubt of the advantages of survival models over models for the annual mortality rate, qx. However, what if an analyst wants to stick to the historical actuarial tradition of modelling annualised mortality rates? Figure 1 shows a GLM for qx fitted to some mortality data for a large UK pension scheme.

Figure 1. Observed mortality rates (•) and fitted values (-) using a binomial GLM with default canonical link (logit scale). Source: Own calculations using the mortality experience of a large UK pension scheme for the single calendar year 2009.

Figure 1 shows that the GLM provides a good approximation of the mortality patterns. A check of the deviance residuals (not shown) yields…

Read more

Tags: GLM, linearity, survival model

Find by key-word


Find by date


Find by tag (show all )