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Portfolio mortality tracking: USA v. UK

In Richards (2022) I proposed a simple real-time mortality tracker that can be implemented in a spreadsheet or R.
Written by: Stephen RichardsTags: season, mortality shocks, Nelson-Aalen, OBNR, reporting delays

Modelling mortality shocks

The ongoing coronavirus pandemic has so far produced two mortality shocks in the UK and many other countries.  Unsurprisingly, the extra mortality is also visible in annuity portfolios.  Such mortality spikes create a challenge for actuaries — ho

Written by: Stephen RichardsTags: coronavirus, mortality shocks, season

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

Mortality patterns in time

The COVID-19 pandemic has created strong interest in mortality patterns in time, especially mortality shocks. Actuaries now have to consider the effect of such shocks in their portfolio data, and in this blog we consider a non-parametric method of doing this.

Written by: Stephen RichardsTags: season, mortality shocks, Nelson-Aalen

What — and when — is a 1:200 event?

The concept of a "one in two hundred" (1:200) event over a one-year time horizon is well established as a reserving standard for insurance in several territories: the ICA in the United Kingdom, the SST in Switzerland and the forthcoming Solvency II standard for the entire European Union. 
Written by: Stephen RichardsTags: Spanish influenza pandemic, mortality shocks, longevity shocks, Solvency II, ICA, SST, VaR, value-at-risk

The shock we saw coming?

The impact of a mortality shock is by definition hard to predict. We don't know with certainty if or when a shock might occur, or what effects it might have on mortality in the years that follow.
Written by: Gavin RitchieTags: mortality shocks, AMR, antibiotics

The weaker sex

Last year Iain wrote about a smooth model to identify mortality shocks, using Swedish population data to illustrate the impact of the 1918 influenza pandemic. 
Written by: Stephen RichardsTags: Spanish influenza pandemic, mortality shocks, Solvency II