Information Matrix

Last week we looked at the odd situation whereby longevity risk is regulated more strictly in an insurance-company annuity portfolio than in a company pension scheme.  One argument for the different treatment is that the sponsoring employer is a source of ongoing financial support for the scheme.

Casual readers could be forgiven for thinking that pensions and annuities have a lot in common, and that they should therefore be regulated in a similar manner.  After all, both annuity portfolios and pension schemes are exposed to a host of similar risks, such as increased longevity.

We have written extensively about how to use postcodes for mortality modelling. The best approach in the UK is to use so-called geodemographic profilers, which map postcodes to relatively homogeneous groups of households sharing certain socio-economic characteristics.

In an earlier post I mentioned the advent of survivor forwards, or S-forwards, a derivative contract which could be used for hedging pension liabilities.

Actuaries make great use of so-called standard tables.  These are annual probabilities at each whole age for males and females.  However, often mortality rates are required at ages which are not whole numbers. 

In civil engineering, no building can be sounder than the foundation on which it rests.  A similar comment applies to statistical analysis, which is obviously limited by the quality of the underlying data. 

Earlier Gavin wrote about a number of mobile devices from which you could run Longevitas software services, including a Nokia telephone and an iPod Touch.  This is not a result of specifically designing for these devices, but it is a handy benefit from following the open, published standards for web development.

Is there a limit to life expectancy?

I have written several times about the challenges in creating mortality projections based on cause-of-death data.  Those interested in the details can consult my recent paper published in a special edition of the British Actuarial Journal. 

I wrote earlier about survivor forwards as a means of transferring longevity risk.  One natural question for investors to ask is: what is the likelihood of loss exceeding a given amount?