Pembentukan Tabel Mortalitas

Model Survival dan Inferensinya

untuk Data Aktuaria
Ujian PAI (Associate Exams)
Pembentukan Tabel Mortalitas
 Prinsip Aktuaria
P. 571 Principle 3.1:
“Acturial risks can be stochastically modeled
based on assumptions regarding the
probabilities that will apply to the actuarial
risk variables in the future, including
assumptions regarding the future of
environment”
 Resiko Aktuaria (Actuarial Risks)
• Occurrence
– the chances of a claim event
• Timing
– the time at which the event occurs
• Severity
– The cost of settling the claim
Modeling Process
Fungsi Variabel Random Survival
Distribusi Uniform
Distribusi Parametrik
-
Probabilitas Kondisional dan Densitas
Probabilitas Kondisional dan Densitas
Probabilitas Kondisional dan Densitas
 Inferensi Model Survival
• Data Empiris (sample)
– Data lengkap (complete data)
– Data tak-lengkap (incomplete data)
• Metode Inferensi
– Parametrik
– Non-Parametrik (Semi-Parametrik)
Complete Data
Empirical Distribution Function
 Empirical Survival Distribution
Empirical Survival distribution untuk data lengkap

ˆ number of survivors at time t N t

Sn (t )  
n n
atau
Sˆn (t )  1  Fn (t )
Incomplete Data
Censoring & Truncation
Risk Set

y1 y2 y3
 Kaplan-Meier Estimator
Diketahui adalah nilai tunggal dari
data yang tidak tersensor

Variansi KM estimator:
Kaplan-Meier Estimator
Kaplan-Meier Estimator
 Contoh Data

s =surrender; d=dead; e=expired

Penghitungan KM
Penghitungan KM
Penghitungan KM
Nelson-Aalen Estimator
Contoh Nelson-Aalen
Model Regresi