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When fitting mortality models, the foundation of modern statistical inference is the log-likelihood function. The point at which the log-likelihood has its maximum value gives you the maximum-likelihood estimates of your parameters, while the curvature of the log-likelihood tells you about the standard errors of those parameter estimates.
Rewriting the rulebook
It is an unfortunate fact of life that through time every portfolio will acquire data artefacts that make risk analysis trickier. Policyholder duplication is one example of this and archival of claims breaking the time-series is another.
A model point
The current issue of The Actuary magazine carries an article on the selection of model points. Model points were widely used by actuaries in the 1980s and 1990s, when computing power was insufficient to perform complex policy calculations on every policy in a reasonable time-frame. The idea is to select a much smaller number of sample policies, whose behaviour in aggregate mimics that of the portfolio overall.
Forward thinking
A forward contract is an agreement between two parties to buy or sell an asset at a specified price at a date in the future. It is typically a private arrangement used by one or both parties to manage their risk, or where one party wishes to speculate.
Tables turned
Two years ago I asked the question whether we needed standard tables any more. The question arose because most life offices and even many pension schemes have enough mortality-experience data to create their own portfolio-specific models.
A rose by any other name
How important are the labels we give to things? In a seminal paper Richard Willets brought a particular mortality phenomenon to the attention of the UK actuarial profession
Volatility v. Trend Risk
The year 1992 was important in the development of forecasting methods: Ronald Lee and Lawrence Carter published their highly influential paper on forecasting US mortality.
Between a rock and a hard place
The Advocate General of the European Court has recently opined that "the use of actuarial factors based on sex is incompatible with the principle of equal treatment for men and women".
Putting the TAS into Longevitas
In the UK the Board for Actuarial Standards (BAS) has published a series of Technical Actuarial Standards (TAS). At the time of writing there are three standards which are either in force or shortly will be: one for data (TAS-D), one for reports (TAS-R) and one for actuarial models (TAS-M).
Underflow
Earlier I described a problem in mathematical computing for mortality modelling. This was where an intermediate step resulted in a number too big for the computer to handle, causing the entire calculation to overflow and fail.