portfolio_LTC

Aggregated dataset built from a simulated long-term care portfolio

datasets

An enhanced implementation of Whittaker-Henderson smoothing for the graduation
of one-dimensional and two-dimensional actuarial tables used to quantify Life Insurance risks.
'WH' is based on the methods described in Biessy (2025) <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

An synthetic aggregated dataset with death and exposure counts from a
simulated long-term care portfolio with 100,000 contributors on a 20-year
observation period (only deaths following long-term care claims are
counted). The dataset is supplied as a
list with two components :<dl>
 <dt>ec</dt>
<dd>A matrix
containing the portfolio central exposure in person-years for each
combination age from 70 to 100 (excluded) and duration in LTC from 0 to 15 (excluded)</dd></dl>

Format

Aggregated Long-Term Care Dataset — portfolio_LTC

An synthetic aggregated dataset with death and exposure counts from a
simulated long-term care portfolio with 100,000 contributors on a 20-year
observation period (only deaths following long-term care claims are
counted). The dataset is supplied as a
list with two components :<dl>
 <dt>ec</dt>
<dd>A matrix
containing the portfolio central exposure in person-years for each
combination age from 70 to 100 (excluded) and duration in LTC from 0 to 15 (excluded)</dd>

</dl>

portfolio_LTC: Aggregated Long-Term Care Dataset

Description

Usage

Arguments

Format