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Order, order!

Mortality improvements can be analysed in a number of ways.  A common desire is to want to separate mortality improvements into components for period and cohort.  However, this is much trickier than it seems, as we shall show here.  In particular, the order in which calculations are performed can be very important.

Written by: Stephen RichardsTags: mortality improvements, period effects, cohort effect

Business benefits of statistical models

In a recent meeting I was asked by a reinsurer what the advantages were of using statistical models in his business. The reinsurer knew about the greater analytical power of survival models, but he wanted more.
Written by: Stephen RichardsTags: data validation, residual, survival models

Currency devaluation

I have written before on aspects of the CMI's new deterministic projection model. One hoped-for goal was that the CMI 2010 model would become a "common currency" for communicating mortality-improvement bases.
Written by: Stephen RichardsTags: CMI, mortality improvements, mortality projections

Model risk

Investors in longevity risk are particularly interested in extremes — they want to know the maximum loss they are likely to bear for a given probability.  Reinsurers can be even more strongly interested in extremes, especially if they have written stop-loss reinsurance. 
Written by: Stephen RichardsTags: model risk, mortality improvements, mortality projections, Solvency II

Devil in the detail

Last week I wrote about the judgment by the European Court of Justice which bans the use of gender in insurance pricing after 2012.  An interesting aspect is the areas of insurance business which may not be affected. 
Written by: Stephen RichardsTags: gender, annuities

Gender and annuity pricing in the EU

In a previous post we discussed the possibility of gender being banned throughout the EU as a rating factor for insurance pricing.  This has now come to pass — on 1st March 2011 the European Court of Justice ruled that gender may not be used in insurance pricing according to European law.  So what will happen now?
Written by: Stephen RichardsTags: gender, annuities

Forecasting mortality at high ages

The forecasting of future mortality at high ages presents additional challenges to the actuary. As an illustration of the problem, let us consider the CMI assured-lives data set for years 1950–2005 and ages 40–100 (see Stephen's blog posts on selection and data volumes). The blue curve (partly hidden under the green curve) in Figure 1 shows observed log(mortality) averaged over time.

Written by: Iain CurrieTags: missing data, mortality projections, age extrapolation

Too good to be true?

People in poor health don't live as long as their healthier colleagues. This obvious fact underpins the existence of the enhanced annuity market in the United Kingdom.
Written by: Stephen RichardsTags: selection risk, enhanced annuities

Don't shoot the messenger

Stochastic projection models have many advantages — they not only give best-estimate projections, but also confidence intervals around those projections.
Written by: Stephen RichardsTags: mortality projections

Applying the brakes

The CMI has released a second version of its deterministic targeting model for mortality improvements.  This type of model is called an expectation, as the user must enter their belief for the long-term rate of mortality improvement to use the tool.  Expectations have their own unique features, as discussed

Written by: Stephen RichardsTags: CMI, mortality improvements, mortality projections