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Posts feedBest practice in mortality work - regulatory comments
In a letter to the Chief Actuaries of UK insurance businesses, Malik (2019) highlighted two aspects of what the regulator regards as good practice in mortality work
The cohort effects that never were
The analysis of cohort effects has long fascinated the actuarial community; these effects correspond to the observation that specific generations can have longevity characteristics different from those of the previous and the following ones. However, Richards (2008) conjectured that these cohort effects might be errors caused by sudden changes in fertility patterns.
Reviewing forecasts
When making projections and forecasts, it can be instructive to compare them with what actually happened. In December 2002 the CMI published projections of mortality improvements that incorporated the so-called "cohort effect" (CMIB, 2002). These projections were in use by life offices and pension schemes in the United Kingdom from 2003 onwards.
Don't cut corners
An important class of mortality-projection models is the Cairns-Blake-Dowd (CBD) family.
Demography's dark matter: measuring cohort effects
My last blog generated quite a bit of interest so I thought I'd write again on cohorts. It's easy to (a) demonstrate the existence of a cohort effect and to (b) fit models with cohort terms, but not so easy to (c) interpret or forecast the fitted cohort coefficients. In this blog I'll fit the following three models:
Forecasting with cohorts for a mature closed portfolio
At a previous seminar I discussed forecasting with the age-period-cohort (APC) model:
$$ \log \mu_{i,j} = \alpha_i + \kappa_j + \gamma_{j-i}$$
Order, order!
Mortality improvements can be analysed in a number of ways. A common desire is to want to separate mortality improvements into components for period and cohort.
A rose by any other name
How important are the labels we give to things? In a seminal paper Richard Willets brought a particular mortality phenomenon to the attention of the UK actuarial profession