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Modelling improvements in experience data - II

In my previous blog I looked at the implied mortality improvements from time-varying traditional actuarial survival models.  In this blog we consider the implied improvements under the newer Hermite-spline model I proposed in Richards (2019).  This paper included an explicit attempt to model age-related mortality changes, as dis

Written by: Stephen RichardsTags: mortality improvements

Piquing interest in improvements

When underwriting a pension scheme for a bulk annuity or longevity swap, the first concern is understanding what mortality levels are, especially differentials amongst sub-groups. The next concern is whether the recent mortality improvements in the pension scheme are in line with the pricing basis; if the scheme has experienced faster improvements, say, then this would be a valuable insight for pricing.

Written by: Stephen RichardsTags: mortality improvements, portfolio-specific underwriting

Seasoned analysis

The importance of seasonal analysis was underscored by a recent letter form the UK insurance regulator. In a previous blog, I looked at quarterly seasonal variation in a portfolio of defined-benefit pensions, and in a more recent blog I looked at monthly seasonal variation in mortality in England & Wales.

Written by: Stephen RichardsTags: season

The renewed importance of place

In my previous blog I showed how suddenly the excess deaths rose in Scotland and England & Wales due to the ongoing COVID-19 pandemic.  I plotted the excess weekly mortality in two separate graphs because the two countries had such a similar experience that a single figure would have looked muddled.
Written by: Stephen RichardsTags: coronavirus, mortality

A week is a long time in a pandemic

According to British Prime Minister Harold Wilson, "a week is a long time in politics". As with politics, so also with the ongoing COVID-19 pandemic.
Written by: Stephen RichardsTags: coronavirus, mortality

Significantly enhancing your models

In building a mortality model (or any other kind of risk model) it is usually best to build a single, over-arching model rather than split the data into sub-groups (an approach called stratification, the disadvantages of which are discussed in Macdonald et al (2018)).  One obvious reason is to reduce the total number of parameters: why fit two parameters for age when one will do?
Written by: Stephen RichardsTags: enhancement, concealment, stratification

COVID-19 mortality and sex

I recently looked at the progression of Covid-19 mortality risk with age.  As with all-cause mortality, another risk factor for Covid-19 is biological sex.
Written by: Stephen RichardsTags: coronavirus, mortality

COVID-19 mortality and age

When faced with a pandemic disease, such as the ongoing Covid-19 crisis, a multi-layered approach is useful.
Written by: Stephen RichardsTags: coronavirus, mortality

Another look at the Gompertz model

The year 1825 was a significant one not only for actuaries but for the wider scientific community: Benjamin Gompertz published his landmark paper on the graduation of human mortality (Gompertz, 1825). There were at least three completely new ideas in his paper. First, he gave his famous law of mortality. To quote Gompertz:

Written by: Iain CurrieTags: Gompertz

Separation as a service

During the current Covid-19 pandemic, and in common with many service providers, we're dealing with support requests from users working at home. This isn't a huge upheaval for us, since we've always been a SaaS provider, and SaaS is intrinsically decentralised.
Written by: Gavin RitchieTags: technology, coronavirus, public health