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Mind the gap!

Recognising and quantifying mortality differentials is what experience analysis is all about. Whether you calculate traditional A/E ratios, graduate raw rates by formula (Forfar et al. 1988), or fit a statistical model (Richards 2012), the aim is always to find risk factors influencing the level of mortality.

Written by: Kai KaufholdTags: mortality convergence, survival models

Spotting hidden data-quality issues

The growing market for longevity risk-transfer means that takers of the risk are keenly interested in the mortality characteristics of the portfolio concerned. The first thing requested by the risk-taker is therefore detailed data on the portfolio's recent mortality experience.  This is ideally data extracted on a policy-by-policy basis.

Written by: Stephen RichardsTags: data validation, Kaplan-Meier

Reducing uncertainty

The motto of the old UK Institute of Actuaries was certum ex incertis, i.e. certainty from uncertainty. I never particularly liked this motto — it implied that certainty can be obtained from uncertainty, whereas uncertainty is all-too-often overlooked.

Written by: Stephen RichardsTags: estimation error, survival models

A tale of three cities

Given my birthplace, I have a more than casual interest in the causes of excess mortality experienced by Scots beyond that explicable by deprivation alone.
Written by: Gavin RitchieTags: mortality, longevity, Scotland, Glasgow

Out of line

Regular readers of this blog will be in no doubt of the advantages of survival models over models for the annual mortality rate, qx. However, what if an analyst wants to stick to the historical actuarial tradition of modelling annualised mortality rates?
Written by: Stephen RichardsTags: GLM, linearity, survival models

Longevitas input format

We have made available an Excel spreadsheet describing how to create input files for uploading into Longevitas.
Written by: Helena BuckmayerTags: Longevitas, data format, CSV

A benchmark for longevity swap prices

What should a reinsurer charge for longevity risk? Is it possible to benchmark longevity swap prices? One answer to these questions comes from an unlikely source: European Solvency II.
Written by: Kai KaufholdTags: longevity swaps, reinsurance, Solvency II, Solvency Capital Requirement, SCR, risk margin, cost of capital

Haircut or hedge-trim?

Richard Willet's observation last year on the restatement of population estimates was picked up again recently by the BBC. Amongst the implications of the missing nonagenarians are some potentially interesting consequences for index-based longevity hedges.
Written by: Stephen RichardsTags: ONS, longevity hedge, basis risk, S-forward

Health experiments

One interesting aspect of Scottish devolution is the different path charted in health policy.

Written by: Stephen RichardsTags: Scotland, alcohol, smoking

Remembrance of things past

With all due respect to Marcel Proust, involuntary memory isn't something I particularly worry about. Now, involuntary forgetting on the other hand, that is something I'll admit to, and I'm fairly sure I'm not alone.
Written by: Gavin RitchieTags: audit, technology