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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

Self-selection

Actuaries valuing pension liabilities need to make projections of future mortality rates.  The future is inherently uncertain, so it is best to use stochastic models of mortality.  Unfortunately, such models require a long enough time series, but few (if any) portfolios have such data.  In the UK actuaries typically rely on one of two alternative data sets: the England & Wales data from the ONS, which goes back to 1961, or the "assured lives" data from the CMI, wh

Written by: Stephen RichardsTags: basis risk, CMI

Measuring obesity

Obesity is a public-health concern throughout the developed world, since it is linked to a variety of chronic conditions such as diabetes.
Written by: Stephen RichardsTags: obesity, BMI, concentration risk, basis risk

Are annuities expensive enough?

The rationale of any business is to make a profit. This is usually achieved by selling things for more than they cost to make or supply.
Written by: Stephen RichardsTags: annuities, profit