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The Institute of Actuaries' sessional meeting on 28th September 2009 discussed an interesting paper.  It covered similar material to that in Richards (2008), but used different methods and different data.
Written by: Stephen Richards

Back(test) to the future

Stochastic projections of future mortality are increasingly used not just to set future best-estimates, but also to inform on stress tests such as for ICAs in the UK.  By the time the Solvency II regime comes into force, I expect most major insurers across the EU will be using stochastic models for mortality projections (if they are not already doing so).

Written by: Stephen RichardsTags: mortality projections, ICA, Solvency II, Lee-Carter, CMIR17, back-test

Forecasting with limited portfolio data

In a recent post on basis risk in mortality projections, I floated the idea of forecasting with limited data and even suggested that it would be possible to use the method to produce a family of consistent forecasts for different classes of business. The present post describes an example of how this idea works in practice.
Written by: Iain CurrieTags: basis risk, mortality projections

A Scottish question

The Scots are an innovative bunch, including the inventor of the telephone and the discoverer of penicillin.
Written by: Stephen RichardsTags: Scotland, region, geodemographics

Out for the count

In an earlier post we described a problem when fitting GLMs for qx over multiple years.  The key mistake is to divide up the period over which the individual was observed in a model for individual mortality. 
Written by: Stephen RichardsTags: survival models, force of mortality, GLM, missing data

Stabilising projections

With many stochastic models of mortality, projections of future mortality rates are done using a time series.  In a landmark paper, Currie, Durban and Eilers (2004) introduced the idea of using P-splines as an alternative means of generating a forecast.  P-splines formed the basis of a projection tool the CMI made fr

Written by: Stephen RichardsTags: P-splines, time series, mortality projections, CMI

Partial buy-outs

It is quite common for a pension scheme to want to reduce its risk, but to be unable to afford a full buy-out.  The question is how best to reduce risk with the funds available, i.e. which liabilities to buy out first. 
Written by: Stephen RichardsTags: buy-out, concentration risk, trend risk, tail risk

The Lee-Carter Family

In a recent paper presented to the Faculty of Actuaries, Stephen Richards and I discussed model risk and showed how it can have a material impact on mortality forecasts.  Different models have different features, some more desirable than others.  This post illustrates a particular problem with the original Lee-Carter model, and shows how it can be combatted via smoothing.  The choice of which parameters to smooth in the Lee-Carter model leads to a general family

Written by: Iain CurrieTags: model risk, Lee-Carter, mortality projections

Expectations v. extrapolations

The CMI has published two working papers along with its new mortality projection model.  The proposed new model blends current improvement rates into an expected long-term average rate of improvement.  The hope is that such models can incorporate expert opinions on mortality trends to improve the accuracy of projections.
Written by: Stephen RichardsTags: CMI, mortality projections

Discrimination

In an earlier blog I discussed the role of Body-Mass Index (BMI) in measuring obesity.  An alternative measure to the BMI is to measure your waistline, since this is more directly indicative of health-threatening abdominal fat than the BMI is.
Written by: Stephen RichardsTags: obesity, discrimination