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Orders of magnitude

At the beginning of April, the MHRA published an analysis of vaccine safety reports in the UK and concluded that despite now finding increased evidence of rare blood clots following administration of AZD1222 from AstraZeneca (consistent with previous reports from Europe) the benefits of vaccination still outweigh the risks.
Written by: Gavin RitchieTags: coronavirus, vaccination

An abundance of clots?

As David Spiegelhalter (2021) points out, blood clots happen all the time: "at least 100 every week" in a population of 5 million.
Written by: Stephen RichardsTags: coronavirus, vaccination

Allowing for reporting delays

In a previous blog I outlined my six-month rule of thumb for discarding mortality experience affected by reporting delays. However, this can be awkward where there is a hard limit on how far back the experience data goes. For example, when a pension scheme switches administrator, or an insurer migrates business from one system to another, past mortality data is usually the first casualty.

Written by: Stephen RichardsTags: OBNR

'E' is for evidence

Our battle with COVID-19 has raised many questions around the evidence base for proposed public health interventions.
Written by: Gavin RitchieTags: coronavirus, public health, Scotland, Vitamin D

A Model for Reporting Delays

In his recent blog Stephen described some empirical evidence in support of his practice of discarding the most recent six months' data, to reduce the effect of delays in reporting deaths. This blog demonstrates that the practice can also be justified theoretically in the survival modelling framework, although the choice of six months as the cut-off remains an empirical matter.

Written by: Angus MacdonaldTags: survival models, censoring

Reporting delays

When performing a mortality analysis, it is my practice to disregard the most recent six months or so of experience data. The reason is delays in the reporting and recording of deaths, i.e. occurred-but-not-reported (OBNR) to use the terminology of Lawless (1994). We use the term OBNR, rather than the more familiar term IBNR (incurred-but-not-reported); IBNR is associated with "cost-orientated" delay distributions of insurance claims (Jewell, 1989), whereas we are focused on just the delay itself.

Written by: Stephen RichardsTags: OBNR, IBNR, right-truncation, interval censoring

Visualising data-quality in time

In a recent blog I defined the Nelson-Aalen estimate with respect to calendar time, rather than with respect to age as is usual.
Written by: Stephen RichardsTags: data validation, missing data, Nelson-Aalen

Visualising covid-19 in experience data

As 2020 edges to a close, life-office actuaries need to set mortality bases for year-end valuations. An obvious question is what impact the covid-19 pandemic has had on the mortality experience of their portfolio? One problem is that traditional actuarial analysis was often done on the basis of annual rates, whereas the initial covid-19 shock was delivered over a period of a couple of months in early 2020 in Europe.

Written by: Stephen RichardsTags: mortality shocks, coronavirus

Going negative

In the past I have occasionally written about the oddity that is a negative yield. At that time, very short-term yields on Swiss government debt were negative. Since then the negative-yield phenomenon has only spread further
Written by: Stephen RichardsTags: annuities, PRA

Continuous improvement

In a previous blog I demonstrated that there was a statistically significant relationship between pension size and mortality.  In a subsequent blog I looked at the improvements in model fit from treating pension size as a factor, but concluded that this was only a partial solution.  In practice actuaries would prefer to avoid the discretisation error that com

Written by: Stephen RichardsTags: discretisation error, transform function, response function