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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.

Written by: Iain CurrieTags: VaR, smoothing, mortality projections

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.
Written by: Stephen RichardsTags: survival models, mortality, bathtub hazard

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).  Using different expressions for the same concept is an unfortunate barrier to understanding across disciplines.

Written by: Stephen RichardsTags: survival models, left-truncation

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.
Written by: Stephen RichardsTags: Solvency II, ICA, longevity trend risk, model risk

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. The new basis will be called "Scale BB" and is intended as an interim replacement for "Scale AA".   Like Scale AA, the interim Scale BB is one-dimensional in age, i.e. mortality improvements vary by age and gender only. However, the SOA is putting North American actuaries on notice that a move to a two-dimensional projection is on the cards:

Written by: Stephen RichardsTags: mortality improvements, Scale AA, Scale BB, trend reversal, CMI

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.
Written by: Helena BuckmayerTags: mortality projections, Solvency II, ICA

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.
Written by: Gavin RitchieTags: mortality projections, CMI

Diet? What diet?

A while back I wrote about the lower life expectancy in Scotland. This has a number of drivers, but poor diet is one of them.
Written by: Stephen RichardsTags: Scotland, diet

Ahead of his time

I'm giving away rather too much information about my age when I say I started work in 1990 right after graduating from university. Not long into my first job at a UK insurer, I was called to a meeting of the actuarial department.
Written by: Stephen RichardsTags: Solvency II, use test, mortality projections

Longevity trend risk under Solvency II

Longevity trend risk is different from most other risks an insurer faces because the risk lies in the long-term trajectory taken by mortality rates. This trend unfolds over many years as an accumulation of small changes.
Written by: Stephen RichardsTags: longevity risk, Solvency II, model risk