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Posts feedSimulating the Future
This blog has two aims: first, to describe how we go about simulation in the Projections Toolkit; second, to emphasize the important role a model has in determining the width of the confidence interval of the forecast.
Following the thread
Gavin recently explored the topic of threads and parallel processing. But what does this mean from a business perspective?
A model point
The current issue of The Actuary magazine carries an article on the selection of model points. Model points were widely used by actuaries in the 1980s and 1990s, when computing power was insufficient to perform complex policy calculations on every policy in a reasonable time-frame.
Getting the rough with the smooth
There are two fundamentally different ways of thinking about how mortality evolves over time: (a) think of mortality as a time series (the approach of the Lee-Carter model and its generalizations in the Cairns-Blake-Dowd family); (b) think of mortality as a smooth surface (the approach of the 2D P-spline models of Currie, Durban and Eilers and the smooth versions of the Lee-Carter model).
Run-off volatility
When investigating risk in an annuity portfolio, a key task is to simulate the future lifetime for each annuitant. Survival models make this particularly easy, as covered in an earlier posting on simulating lifetimes.