Pricing life insurance premiums using Cox regression model

D. J. Sari, D. Lestari, S. Devila

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

The standard mortality rate usually determines the life insurance premium. In this paper, the mortality rate will be estimated by involving observable risk factors such as gender and smoking status. For that purpose, the Cox regression model is applied. The partial maximum likelihood is used to estimate the parameters of the model and the Nelson-Aalen estimator is used to estimate the baseline hazard function. Then, we will calculate individual life insurance premiums based on the estimated value of the mortality rate. The result is that the amount of single net premiums of smokers is higher than that of non-smokers.

Original languageEnglish
Title of host publicationProceedings of the 4th International Symposium on Current Progress in Mathematics and Sciences, ISCPMS 2018
EditorsTerry Mart, Djoko Triyono, Ivandini T. Anggraningrum
PublisherAmerican Institute of Physics Inc.
ISBN (Electronic)9780735419155
DOIs
Publication statusPublished - 4 Nov 2019
Event4th International Symposium on Current Progress in Mathematics and Sciences 2018, ISCPMS 2018 - Depok, Indonesia
Duration: 30 Oct 201831 Oct 2018

Publication series

NameAIP Conference Proceedings
Volume2168
ISSN (Print)0094-243X
ISSN (Electronic)1551-7616

Conference

Conference4th International Symposium on Current Progress in Mathematics and Sciences 2018, ISCPMS 2018
Country/TerritoryIndonesia
CityDepok
Period30/10/1831/10/18

Keywords

  • Cox regression model
  • life insurance
  • mortality rate
  • risk factors

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