Stephen Richards

Managing Director

Articles written by Stephen Richards

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.

08 December 2013 Tags: Lee-Carter, parameterisation

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.

03 November 2013 Tags: data validation, Kaplan-Meier

Reducing uncertainty

The motto of the old UK Institute of Actuaries was certum ex incertis, i.e. certainty from uncertainty. I never particularly liked this motto — it implied that certainty can be obtained from uncertainty, whereas uncertainty is all-too-often overlooked.

02 November 2013 Tags: estimation error, survival models

Out of line

Regular readers of this blog will be in no doubt of the advantages of survival models over models for the annual mortality rate, qx. However, what if an analyst wants to stick to the historical actuarial tradition of modelling annualised mortality rates?

20 August 2013 Tags: GLM, linearity, survival models

Haircut or hedge-trim?

Richard Willet's observation last year on the restatement of population estimates was picked up again recently by the BBC. Amongst the implications of the missing nonagenarians are some potentially interesting consequences for index-based longevity hedges.

04 July 2013 Tags: ONS, longevity hedge, basis risk, S-forward

Health experiments

One interesting aspect of Scottish devolution is the different path charted in health policy. Residents of Scotland have long had a shorter life expectancy than other parts of the United Kingdom, which is partly a function of greater smoking prevalence and poorer diet (amongst other deleterious health behaviours).

17 June 2013 Tags: Scotland, alcohol, smoking

Enhancement

An oft-overlooked aspect of statistical models is that parameters are dependent on each other. Ignoring such dependencies can have important consequences, and in extreme cases can even undermine assumptions for a forecasting model. However, in the case of a regression model the correlations between regressor variables can sometimes have some unexpectedly positive results.

01 June 2013 Tags: survival models, enhancement, AIC

No smoking without fire

Socio-economic differentials in life expectancy have a long history in the United Kingdom. A large part of this over the last few decades has been stark differences in smoking rates — people of a high socio-economic status are much less likely to smoke, resulting in longer life expectancy.

02 May 2013 Tags: smoking, e-cigarettes, mortality improvements

The ins and outs of bulk annuities

The UK has a well developed and highly competitive market in bulk annuities. These typically arise when a defined-benefit pension scheme wants to insure its liabilities.

12 April 2013 Tags: bulk annuities, buy-in, buy-out, survival models

The best available approximation to the truth

In my role as guest editor of the British Actuarial Journal, I wrote an editorial piece about how actuaries can assess the suitability (or otherwise) of models for projecting mortality rates.

09 March 2013 Tags: mortality projections, BAJ