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Posts feedBasis risk in mortality projections
In a recent paper Stephen Richards and I discuss the effect of model choice on mortality forecasts. Our approach is quite low key: we look at just three models, all members of the Lee-Carter family. Nevertheless, our findings are quite dramatic: even within this very small family the differences in the forecasts really matter financially. So model choice matters.
Transforming the user experience
We were asked recently whether the rating reports from mortalityrating.com could be extracted into a Microsoft Office format to use in an automated document production process. As the actual reports are in Adobe PDF format, tackling this question head-on wouldn't necessarily be easy.
Mortality shocks
Mortality, and in particular rapidly improving mortality, has shot up the actuarial agenda in recent years. Actuaries have been caught by surprise not so much by the improvement (which has been happening steadily for over a hundred years now) but by the acceleration in the improvement.
Concentrate!
One of the challenges in modelling financial portfolios is the concentration of risk arising from the fact wealthier people will usually have significantly higher benefits than the less well-off.
Winter mortality
In previous posts we looked at seasonal fluctuations in mortality. Since the UK is about to experience some particularly cold weather again, we will look at winter mortality in more detail.
Logistical nightmares
A common Generalised Linear Model (GLM) for mortality modelling is logistic regression, also sometimes described as a Bernoulli GLM with a logistic link function. This models mortality at the level of the individual, and models the rate of mortality over a single year.
Double trouble
Scientists strongly prefer ideas and processes which have undergone anonymous peer review in published, refereed journals.
Interesting times
The Bank of England has reduced its current bank rate to 1.5%, the lowest since it was founded in 1694. Whilst this is good news for borrowers, it is bad news for those in retirement who are living off the interest on their savings.
Table talk
When valuing a portfolio, an actuary must often make a decision as to what tables to use for the risk. The ideal is to use tables which have been created from the portfolio's own experience, preferably using a statistical model to account for the various risk factors.
Size isn't everything
In an earlier post we discussed the correct way of using postcodes for analysing mortality, and also how this works in countries outside the UK. It is worth re-iterating why insurers use so-called geodemographic profiling.