Information Matrix
Filter Information matrix
Posts feedCompetitive eating
I've previously suggested parallel processing might have a touch of the infernal about it, and further evidence might be how it allows us to usefully indulge in one of the seven deadly sins, that of gluttony.
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. This deferral is very sensible as the 2011 Census has revealed some significant results for those with an interest in longevity.
Extracting the (data) value
Risk management is about properly understanding your risk factors and managing accordingly. In a modern actuarial context, this is about a lot more than a simple comparison against a standard table.
Canonical correlation
At our seminar earlier this year I looked at the validity of assumptions underpinning some stochastic projection models for mortality. I looked at the assumption of parameter independence in forecasting, and examined whether this assumption was borne out by the data. It transpires that the assumption of independence is a workable assumption for some models, but not for others. This has important consequences in a Solvency II context — an internal model must be shown to have assumptions grounded in fact.
An early bath for the bathtub model
My last posting looked at why actuaries fitted survival models differently to statisticians, even though the conceptual framework for survival models is common to both disciplines.
Actuarial exceptionalism
In an earlier posting I listed some actuarial terms and their statistical equivalents (and later a short list of statistical terms and their equivalents in other fields).
Trend risk and age
There are several ways of looking at longevity trend risk, as covered in our recent seminar. However, regardless of how you choose to look at this risk, there are some pitfalls to watch out for.
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.
Seminar on stochastic projection models
We previously ran a seminar on stochastic projection models for longevity risk. Our follow-up seminar focuses on specific aspects of ICAs and Solvency II.
All bases covered
It is fairly obvious by now that we are strong advocates for stochastic projection models. Such models crucially provide a basis with two components - a best-estimate force of mortality by age and year, and matching standard error values for the same 2D range.