Information Matrix | Longevitas

Filter Information matrix

Measuring liability uncertainty

Pricing block transactions is a high-stakes business. An insurer writing a bulk annuity has one chance to assess the price to charge for taking on pension liabilities. There is a lot to consider, but at least there is data to work with: for the economic assumptions like interest rates and inflation, the insurer has market prices. For the mortality basis, the insurer usually gets several years of mortality-experience data from the pensi

24 January 2023 Written by: Stephen RichardsTags: mis-estimation risk, covariance matrix, log-likelihood

Matrix repair

When fitting a statistical model we want two things as a minimum:

25 November 2019 Written by: Stephen RichardsTags: information matrix, covariance matrix