Information Matrix

Filter

Posts feed
Publication date

The alias problem

A problem that can crop up during mortality modelling is that of aliasing, specifically extrinsic aliasing.  The situation can be illustrated by an example of the sort of data available for a pension scheme.
Written by: Stephen RichardsTags: extrinsic aliasing

Top of the tree

What do civil servants and monkeys have in common (ignoring a purportedly greater than average interest in bananas)?
Written by: Gavin RitchieTags: mortality, socio-economic group, primates, monkeys

Division of labour

At this time of year insurers have commenced their annual valuation of liabilities, part of which involves setting a mortality basis.  When doing so it is common for actuaries to separate the basis into two components.
Written by: Stephen RichardsTags: valuation, Solvency II, mis-estimation risk, trend risk

Habit (re)forming

Behavioural risk factors such as smoking and excessive alcohol consumption are significant drivers of mortality and morbidity.
Written by: Gavin RitchieTags: mortality, smoking, alcohol

Season's Greetings to all our readers!

\[y = \frac{\log_e\left(\frac{x}{m}-sa\right)}{r^2}\]

\[\Rightarrow yr^2 = \log_e\left(\frac{x}{m}-sa\right)\]

\[\Rightarrow e^{yr^2} = \frac{x}{m}-sa\]

\[\Rightarrow me^{yr^2} = x-msa\]

\[\Rightarrow me^{rry} = x-mas\]

Written by: Stephen Richards

Signal or noise?

Each year since 2009 the CMI in the UK has released a spreadsheet tool for actuaries to use for mortality projections. I have written about this tool a number of times, including how one might go about setting the long-term rate. The CMI now wants to change how the spreadsheet is calibrated and has proposed the following model in CMI (2016a):

\[\log m_{x,y} = \alpha_x + \beta_x(y-\bar y) + \kappa_y + \gamma_{y-x}\qquad (1)\]

Written by: Stephen RichardsTags: CMI, APCI, APC, Lee-Carter, Age-Period, smoothing

Making sense of senescence

Historical research we discussed previously proposed that significant increases in average life expectancy would require the cure of multiple diseases of aging. Without considering the detail of cause-of-death calculations conducted more than two decades ago, it certainly seems implausible even now that we'll cross such a dramatic Rubicon in the near-term.
Written by: Gavin RitchieTags: longevity, research, inflammation, disease

Getting to the root of time-series forecasting

When using a stochastic model for mortality forecasting, people can either use penalty functions or time-series methods . Each approach has its pros and cons, but time-series methods are the commonest. I demonstrated in an earlier posting how an ARIMA time-series model can be a better representation of a mortality index than a random walk with drift.

Written by: Stephen RichardsTags: ARIMA, random walk, drift model, characteristic equation, unit root

Pension freedom or trap for the unwary?

An interesting development is the pending right of annuitants to sell their future annuity payments for a cash lump sum, planned for introduction in 2017. The new option will only apply to holders of individual annuity policies with insurers, either from initial purchase of an annuity or because they are holders of individual annuities following a buy-out.
Written by: Stephen RichardsTags: pension freedom, annuities, selection risk, information asymmetry

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