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Modelling improvements in experience data - I

In the first of a pair of blogs we will look at how to allow for changes in mortality levels when calibrating models to experience analysis.  We start with time-varying extensions of traditional parametric models proposed by actuaries, beginning of course with the Gompertz (1825) model:

\[{\rm Gompertz}: \mu_{x,y} = e^{\alpha+\beta x + \delta(y-2000)}\qquad (1)\]

Written by: Stephen RichardsTags: mortality improvements

Modelling improvements in experience data - II

In my previous blog I looked at the implied mortality improvements from time-varying traditional actuarial survival models.  In this blog we consider the implied improvements under the newer Hermite-spline model I proposed in Richards (2019).  This paper included an explicit attempt to model age-related mortality changes, as dis

Written by: Stephen RichardsTags: mortality improvements

Piquing interest in improvements

When underwriting a pension scheme for a bulk annuity or longevity swap, the first concern is understanding what mortality levels are, especially differentials amongst sub-groups. The next concern is whether the recent mortality improvements in the pension scheme are in line with the pricing basis; if the scheme has experienced faster improvements, say, then this would be a valuable insight for pricing.

Written by: Stephen RichardsTags: mortality improvements, portfolio-specific underwriting

Best practice in mortality work - regulatory comments

In a letter to the Chief Actuaries of UK insurance businesses, Malik (2019) highlighted two aspects of what the regulator regards as good practice in mortality work
Written by: Stephen RichardsTags: season, mortality improvements, cohort effect

The cohort effects that never were

The analysis of cohort effects has long fascinated the actuarial community; these effects correspond to the observation that specific generations can have longevity characteristics different from those of the previous and the following ones. However, Richards (2008) conjectured that these cohort effects might be errors caused by sudden changes in fertility patterns.
Written by: Alexandre BoumezouedTags: cohort effect, mortality improvements

Diabetes in the driving seat?

Those of us with an interest in population mortality find ourselves in proverbially interesting times. Established patterns of accelerating mortality improvements may have ended and we neither know precisely why this may have happened nor what will follow
Written by: Gavin RitchieTags: longevity, diabetes, mortality improvements

Socio-economic differentials: convergence and divergence

Many western countries, including the UK, have recently experienced a slowdown in mortality improvements.  This might lead to the conclusion that the age of increasing life expectancies is over.  But is that the case for everyone? 
Written by: Torsten KleinowTags: mortality convergence, mortality improvements, concentration risk, basis risk

Fifty years of mortality improvements

In an earlier post we looked at the development of the distribution of age at death over time. We saw how the peak adult age at death had continuously moved towards an ever-higher age.
Written by: Stephen RichardsTags: mortality improvements

Pensioners — the youth of today

This blog focuses on two particular features of mortality improvements: improvements around retirement age and improvements for the (very) old.
Written by: Iain CurrieTags: mortality improvements, frailty

Reverse Gear

Against a background of long-term mortality improvements it is understandable to expect that societal change and developments in health care will be agents of progress. Recent research from Princeton Professor of Economics Anne Case and Nobel prize-winning economist Angus Deaton jolts such complacency in the starkest way.
Written by: Gavin RitchieTags: longevity, mortality improvements, mortality plasticity, basis risk