Iterative Adjustment of Survival Functions by Composed Probability Distortions
Alexis Bienvenüe and
Didier Rulliere ()
Additional contact information
Alexis Bienvenüe: Laboratoire SAF, Institut de Science Financière et d’Assurances, Université de Lyon, Université Lyon 1, EA 2429, 50 Avenue Tony Garnier, Lyon F-69007, France. E-mails: Alexis.Bienvenue@univ-lyon1.fr; Didier.Rulliere@univ-lyon1.fr
The Geneva Risk and Insurance Review, 2012, vol. 37, issue 2, 156-179
We introduce a parametric class of composite probability distortions that can be combined to converge to a target survival function. These distortions respect analytic invertibility and stability, which are shown to be relevant in many actuarial fields. We study the asymptotic impact of such distortions on hazard rates. The paper provides an estimation methodology, including hints for initialisation. Some applications to survival data bring results for catastrophic event impact modelling. We also obtain accurate parametric representations of the mortality trend over years. Finally, we suggest a prospective mortality simulation model that comes naturally from the above analysis.
References: Add references at CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed
Downloads: (external link)
http://www.palgrave-journals.com/grir/journal/v37/n2/pdf/grir20117a.pdf Link to full text PDF (application/pdf)
http://www.palgrave-journals.com/grir/journal/v37/n2/full/grir20117a.html Link to full text HTML (text/html)
Access to full text is restricted to subscribers.
Working Paper: Iterative Adjustment of Survival Functions by Composed Probability Distortions (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pal:genrir:v:37:y:2012:i:2:p:156-179
Ordering information: This journal article can be ordered from
Access Statistics for this article
The Geneva Risk and Insurance Review is currently edited by Michael Hoy and Nicolas Treich
More articles in The Geneva Risk and Insurance Review from Palgrave Macmillan, International Association for the Study of Insurance Economics (The Geneva Association) Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla ().