Information Matrix
Filter
Posts feedContinuous 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
Pension size as a factor
In a previous blog I showed that there was often a statistically significant link between pension size and mortality. It is clearly necessary to account for such a link in an actuarial mortality model, not least because people with larger pensions account for a disproportionate share of portfolio risk.