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Gbari, Samuel; Poulain, Michel; Dal, Luc; Denuit, Michel

Extreme value analysis of mortality at the oldest ages: a case study based on individual ages at death. (English) Zbl 1414.91190

N. Am. Actuar. J. 21, No. 3, 397-416 (2017).
Summary: In this article, the force of mortality at the oldest ages is studied using the statistical tools from extreme value theory. A unique data basis recording all individual ages at death above 95 for extinct cohorts born in Belgium between 1886 and 1904 is used to illustrate the relevance of the proposed approach. No leveling off in the force of mortality at the oldest ages is found, and the analysis supports the existence of an upper limit to human lifetime for these cohorts. Therefore, assuming that the force of mortality becomes ultimately constant, that is, that the remaining lifetime tends to the negative exponential distribution as the attained age grows is a conservative strategy for managing life annuities.

Cited in 5 Documents

MSC:

91B30 Risk theory, insurance (MSC2010)
62P05 Applications of statistics to actuarial sciences and financial mathematics
60G70 Extreme value theory; extremal stochastic processes

Keywords:

oldest ages mortality; extreme value theory
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\textit{S. Gbari} et al., N. Am. Actuar. J. 21, No. 3, 397--416 (2017; Zbl 1414.91190)
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