Stephen Richards
Managing Director
Articles written by Stephen Richards
Don't cut corners
An important class of mortality-projection models is the Cairns-Blake-Dowd (CBD) family.
Quantiles and percentiles
Quantiles are points taken at regular intervals from the cumulative distribution function of a random variable. They are generally described as q-quantiles, where q specifies the number of intervals which are separated by q−1 points.
Creative thinking around longevity risk
The U.K. has been a hotbed of innovation when dealing with the longevity risk found in pension schemes.
Excel's limits
We have written in the past about some of the reasons why we don't use Excel to fit our models. However, we do use Excel for validation purposes — fitting models using two entirely separate tools is a good way of checking production code. That said, there are some important limits to Excel, especially when it comes to fitting projection models.
(Un)Fit for purpose
Academics lay great store by anonymous peer review and in openly publishing their results. There are good reasons for this — anonymous peer review allows expert third parties (usually two) to challenge assumptions without fear of retribution, while open publishing allows others to test things and find their limitations.
A second pension-scheme revolution
In his book Unseen Revolution, Peter Drucker drew attention to the structural changes in economic ownership which were silently ushered in with the growth of corporate pension schemes.
Spotting quality issues with limited data
In an earlier posting I showed how to use the Kaplan-Meier function to identify subtle data problems. However, what can you do when you don't have the detailed information to build a full survival curve?
S2 mortality tables
The CMI has released the long-awaited S2 series of mortality tables based on pension-scheme data. These are the first new tables since the CMI changed its status (the S2 series is only available to paying subscribers, unlike prior CMI tables).
The perils of parameter interpretation
With some notable exceptions, such as the Kaplan-Meier estimator, most mortality models contain parameters. In a statistical model these parameters need to be estimated, and it is a natural thing for people to want to place interpretations on those parameter estimates. However, this can be tricky, as parameters in a multi-parameter model are dependent on each other.
Spotting hidden data-quality issues
The growing market for longevity risk-transfer means that takers of the risk are keenly interested in the mortality characteristics of the portfolio concerned. The first thing requested by the risk-taker is therefore detailed data on the portfolio's recent mortality experience. This is ideally data extracted on a policy-by-policy basis.