Selected Risk classification in life and health papers

Risk classification and actuarial pricing is at the heart of our team’s expertise. Besides classical applications to P&C insurance, our senior actuaries also considered effective methods to include risk factors in mortality or morbidity rates.

The following paper explains how to apply Poisson regression tools (GAMs, GBMs or trees) to explain variations in mortality and morbidity rates:

  • Denuit, M., Legrand, C. (2016). Risk classification in life and health insurance: Extension to continuous covariates. ISBA Discussion Paper 2016/45, in revision.
This work greatly benefitted from interactions with AXA teams and is based on two previous case studies conducted with actuarial teams from the German reinsurer Munich Re and the French reinsurer SCOR:

  • Gschlossl, S., Schoenmaekers, P., Denuit, M. (2011). Risk classification in life insurance: Methodology and case study. European Actuarial Journal 1, 23-41.(Link to purchase)
  • Delwarde, A., Kachakhidze, D., Olié, L., Denuit, M. (2004). Modèles linèaires et additifs généralisés, maximum de vraisemblance local et méthodes relationnelles en assurance sur la vie. Bulletin Français d’Actuariat 6, 77-102.(Link to PDF)

Our team also considered practical ways to perform actuarial calculations in segmented life and health portfolios. See for instance

  • Denuit, M., Trufin, J. (2015). Model points and Tail-VaR in life insurance. Insurance: Mathematics and Economics 64, 268-272.(Link to PDF)

For an exhaustive list of publications on this topic, please refer to the individual CVs of Michel Denuit and Julien Trufin.