Information Matrix

With many stochastic models of mortality, projections of future mortality rates are done using a time series.  In a landmark paper, Currie, Durban and Eilers (2004) introduced the idea of using P-splines as an alternative means of generating a forecast.  P-splines formed the basis of a projection tool the CMI made fr

Actuaries valuing pension liabilities need to make projections of future mortality rates.  The future is inherently uncertain, so it is best to use stochastic models of mortality.  Unfortunately, such models require a long enough time series, but few (if any) portfolios have such data.  In the UK actuaries typically rely on one of two alternative data sets: the England & Wales data from the ONS, which goes back to 1961, or the "assured lives" data from the CMI, wh

In the distant past, individual insurers had relatively modest business volumes and the industry needed to pool its data to get an overall data set of sufficient credibility. In the U.K., the mechanism for pooling mortality data is the CMI. An earlier blog mentioned some challenges surrounding the changing volumes of data in the CMI assured lives data set.