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Posts feedA 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.
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.
Health experiments
One interesting aspect of Scottish devolution is the different path charted in health policy. Residents of Scotland have long had a shorter life expectancy than other parts of the United Kingdom, which is partly a function of greater smoking prevalence and poorer diet (amongst other deleterious health behaviours).
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.
Enhancement
An oft-overlooked aspect of statistical models is that parameters are dependent on each other. Ignoring such dependencies can have important consequences, and in extreme cases can even undermine assumptions for a forecasting model. However, in the case of a regression model the correlations between regressor variables can sometimes have some unexpectedly positive results.
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.
The ins and outs of bulk annuities
The UK has a well developed and highly competitive market in bulk annuities. These typically arise when a defined-benefit pension scheme wants to insure its liabilities.
Herding experts
Experts can come in for a lot of criticism, but they have their uses. After all, with no heads above those parapets, humanity would neither see so far nor have enough target practice.
The best available approximation to the truth
In my role as guest editor of the British Actuarial Journal, I wrote an editorial piece about how actuaries can assess the suitability (or otherwise) of models for projecting mortality rates.
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.