portfolio_mort

Aggregated dataset built from a simulated mortality 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_mort function

An synthetic aggregated dataset with death and exposure counts from a
simulated annuity portfolio with 100,000 contributors on a 20-year
observation period. The
dataset is supplied as a list with two components :<dl>
 <dt>ec</dt>
<dd>A vector containing the portfolio central exposure in
person-years for each age from 50 to 95 (excluded)</dd></dl>

Format

Aggregated Mortality Dataset — portfolio_mort

An synthetic aggregated dataset with death and exposure counts from a
simulated annuity portfolio with 100,000 contributors on a 20-year
observation period. The
dataset is supplied as a list with two components :<dl>
 <dt>ec</dt>
<dd>A vector containing the portfolio central exposure in
person-years for each age from 50 to 95 (excluded)</dd>

</dl>

portfolio_mort: Aggregated Mortality Dataset

Description

Usage

Arguments

Format