Information Matrix
Filter
Posts feedEnhancement
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.
Hitting the target, but missing the point
Targeting methods are popular in some areas for mortality forecasting. One well known current example is the CMI's model for forecasting mortality.
VaR-iation by age
During the public discussions of our paper on value-at-risk for longevity trend risk, one commentator asked for a fuller presentation of VaR capital requirements by age. In the paper, as with our introductory overview, we used age 70 as a representative average age of an annuity portfolio.
Insurance or right?
The Economist recently carried an article about the perceived unfairness of increasing the retirement age. The argument is that poorer people have higher mortality rates, which means they get less value from a given pension than richer people: the poor are less likely to survive long enough to receive the pension, and if they do they will draw it for a shorter period of time.
VaR for longevity trend risk
Last month Stephen, Iain and Gavin presented their paper on putting longevity trend risk into a one-year, value-at-risk (VaR) framework. The presentations were made to audiences of actuaries in Edinburgh and London, and the video of the London debate is now available online.