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Fractional mortality rate based on rational interpolating method and its application in actuarial science

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Abstract

This paper attempts to introduce a new method with adjustable parameter for estimating the mortality of fractional age based on rational interpolating theory. The efficiency analysis of the method is given and some conditions the adjustable parameter should satisfy are given in order to meet the need of actuarial practice. We also analyze the relationship between our estimating method and the one based on UDD assumption—the most commonly used in actuarial study and practice. The result shows that the latter is just a special case of our results. Finally we apply our method to the calculations of actuarial present value of life insurance and annuities. Simulations are also done to give a clear comparison between traditional method and our method specified in this paper.

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Authors and Affiliations

  1. School of Statistics and Mathematics & Institute of Statistics and Actuary, Shandong Economic University, Jinan, Shandong, 250014, People’s Republic of China

    Shilong Li & Xia Zhao

  2. Department of Natural Science and Mathematics, Johnson C Smith University, 100 Beatties Ford Road, Charlotte, NC, 28216, USA

    Nailong Guo

Authors
  1. Shilong Li
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  2. Xia Zhao
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  3. Nailong Guo
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Correspondence to Xia Zhao.

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Li, S., Zhao, X. & Guo, N. Fractional mortality rate based on rational interpolating method and its application in actuarial science. Qual Quant 47, 791–802 (2013). https://doi.org/10.1007/s11135-011-9564-4

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  • DOI: https://doi.org/10.1007/s11135-011-9564-4

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