The Emperor's New Clothes, Part II

In my previous blog I described a real case where so-called artificial intelligence (AI) would have struggled to spot data problems that a (suspicious) human could find.  But what if the input data are clean and reliable?

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When is your Poisson model not a Poisson model?

The short answer for mortality work is that your Poisson model is never truly Poisson. The longer answer is that the true distribution has a similar likelihood, so you will get the same answer from treating it like Poisson.  Your model is pseudo-Poisson, but not actually Poisson.

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Mortality forecasting in a post-COVID world

Last week I presented at the Longevity 18 conference.  My topic was on robustifying stochastic mortality models when the calibrating data contain outliers, such as caused by the COVID-19 pandemic.  A copy of the presentation can be downloaded here, which is based on a paper to be presented at an IFoA sessional meeting in N

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Version 2.8.7 of the Projections Toolkit

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2.8.7 update

  • A new resource area Training tab including datasets and exercises.
  • Availability of 2D Period shocks model as per Kirkby & Currie (2010).
  • Availability of a CBD M9 model with smoothing on main age term.
  • New plot shows the inverse roots of the characteristic polynomials of the autoregressive (AR) and moving-average (MA) parts of the ARIMA model.
  • License configurable SAML-based single-sign-on authentication.
  • Platform, security and administrative support updates.
  • Various fix

Testing Times (version 2.8.7)

We have the next release, version 2.8.7 of Longevitas and the Projections Toolkit up on the ramp. So what exactly is in there?
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Longevity capital requirements on the edge

in Kleinow & Richards (2016, Table 5) we noted a seeming conundrum: the best-fitting ARIMA model for the time index in a Lee-Carter model also produced much higher value-at-risk (VaR) capital requirements for longevity trend risk.  How could this be?

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