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Posts feedAn 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). Using different expressions for the same concept is an unfortunate barrier to understanding across disciplines.
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. 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:
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.
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.
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.
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.
Steady as she goes
If you'll forgive the nautical metaphor, forecasting longevity over the past few decades has proven to be anything but plain sailing. Those plotting a course with unshakable certainty have usually ended up storm-tossed and floating in a barrel.