Graduación de tablas de mortalidad. Aplicaciones actuariales

Abstract

The life insurance professional should be able to assign sufficient premiums to cover the quantities that the company should pay in the assured death case. Consequently, the accurate prediction of death probabilities constitutes the cornerstone of the assumed risk reduction. According to that, the goal of this thesis is an exhaustive presentation of the available methods to graduate life tables. Additionally, we try to develop a methodology allowing for the elaboration of selected tables. In order to improve the actuarial tools used in real practice, we need, in our view, to study the dynamic life tables, since the stationarity required by classical graduation methods is difficult to be accepted when the mortality is studied for a long period of time. This type of research would remain incomplete if the theoretical results did not apply to real data in order to evaluate and compare the different methods. Consequently, the last part of the thesis is dedicated to the analysis of mortality data in the Comunidad Valenciana by building models that cover the complete rank of ages. Our study concludes with an application of the adjusted life tables in order to elaborate a pension plan for the personnel of the University of Valencia. According to these objectives, our thesis has been structured as follows: Chapter 1 is devoted to a global vision of the fundamental concepts in the mortality study. Chapter 2 is dedicated to the mortality data graduation by means of parametric methods. Chapter 3 deals with the mortality data graduation by means of non-parametric methods. Chapter 4 analyses the dynamicity of the phenomenon of mortality taking into account the effect of the calendar years in the graduation of life tables. Chapter 5 applies the parametric models built in the previous chapters to the data related to Comunidad Valenciana. Chapter 6 applies the non-parametrics techniques to the same data used in Chapter 5. Chapter 7 is devoted to the creation of dynamic mortality tables for Comunidad Valenciana along the period 1980-2000. Chapter 8 analyses the effect of different kind of tables, static or dynamic, in life insurances and pension plans.