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Reviewing forecasts

When making projections and forecasts, it can be instructive to compare them with what actually happened. In December 2002 the CMI published projections of mortality improvements that incorporated the so-called "cohort effect" (CMIB, 2002). These projections were in use by life offices and pension schemes in the United Kingdom from 2003 onwards.

Written by: Stephen RichardsTags: cohort effect, mortality projections, mortality improvements

Weighing the evidence

We've previously discussed the significant challenges involved in forecasting mortality by cause of death. Needless to say it isn't any easier to predict the impact of trends in lifestyle factors that drive those causes.
Written by: Gavin RitchieTags: obesity, mortality improvements, smoking, back-test

S2 mortality tables

The CMI has released the long-awaited S2 series of mortality tables based on pension-scheme data.  These are the first new tables since the CMI changed its status (the S2 series is only available to paying subscribers, unlike prior CMI tables). 
Written by: Stephen RichardsTags: S2 Series, S1 Series, CMI, mortality improvements

No smoking without fire

Socio-economic differentials in life expectancy have a long history in the United Kingdom. A large part of this over the last few decades has been stark differences in smoking rates — people of a high socio-economic status are much less likely to smoke, resulting in longer life expectancy.
Written by: Stephen RichardsTags: smoking, e-cigarettes, mortality improvements

Benchmarking VaR for longevity trend risk

I recently wrote about an objective approach to setting the value-at-risk capital for longevity trend risk. This approach is documented in Richards, Currie & Ritchie (2012), which was recently presented to a meeting of actuaries in Edinburgh.
Written by: Stephen RichardsTags: mortality improvements, mortality projections, VaR, CMI, value-at-risk

Longevity and the 2011 Census

The Continuous Mortality Investigation (CMI) has just announced its decision to postpone the release of its mortality projection model until 2013, the main reason being to properly allow for the impact of the 2011 Census.

Written by: Richard WilletsTags: mortality improvements, census

2D or not 2D?

The Society of Actuaries (SOA) in North America recently published an exposure draft of a proposed interim mortality-improvement basis for pension-scheme work. The new basis will be called "Scale BB" and is intended as an interim replacement for "Scale AA".   Like Scale AA, the interim Scale BB is one-dimensional in age, i.e. mortality improvements vary by age and gender only. However, the SOA is putting North American actuaries on notice that a move to a two-dimensional projection is on the cards:

Written by: Stephen RichardsTags: mortality improvements, Scale AA, Scale BB, trend reversal, CMI

Caveat emptor

I wrote earlier about survivor forwards as a means of transferring longevity risk.  One natural question for investors to ask is: what is the likelihood of loss exceeding a given amount?
Written by: Stephen RichardsTags: survivor forward, S-forward, model risk, mortality improvements, mortality projections

Order, order!

Mortality improvements can be analysed in a number of ways.  A common desire is to want to separate mortality improvements into components for period and cohort.  However, this is much trickier than it seems, as we shall show here.  In particular, the order in which calculations are performed can be very important.

Written by: Stephen RichardsTags: mortality improvements, period effects, cohort effect

Currency devaluation

I have written before on aspects of the CMI's new deterministic projection model. One hoped-for goal was that the CMI 2010 model would become a "common currency" for communicating mortality-improvement bases.
Written by: Stephen RichardsTags: CMI, mortality improvements, mortality projections