portfolio_LTC

Agregated dataset built from a synthetic long-term care portfolio

datasets

An enhanced implementation of Whittaker-Henderson smoothing for the gradation
of one-dimensional and two-dimensional actuarial tables used to quantify Life Insurance risks.
'WH' is based on the methods described in Biessy (2023) <doi:10.48550/arXiv.2306.06932>.
Among other features, it generalizes the original smoothing algorithm to maximum likelihood estimation,
automatically selects the smoothing parameter(s) and extrapolates beyond the range of data.

Guillaume Biessy

Enhanced Implementation of Whittaker-Henderson Smoothing

portfolio_LTC function

A dataset obtaining by agregating the information from a fictive
long-term care annuitant database with 5,000 annuitants over a 10-year
observation period. The dataset is supplied as a list with two components :<dl>
 <dt>expo</dt>
<dd>A matrix containing the associated central
exposure in person-years for each combination of age and duration in LTC in d</dd></dl>

Format

Agregated Long-Term Care Dataset — portfolio_LTC

A dataset obtaining by agregating the information from a fictive
long-term care annuitant database with 5,000 annuitants over a 10-year
observation period. The dataset is supplied as a list with two components :<dl>
 <dt>expo</dt>
<dd>A matrix containing the associated central
exposure in person-years for each combination of age and duration in LTC in d</dd>

</dl>

portfolio_LTC: Agregated Long-Term Care Dataset

Description

Usage

Arguments

Format