Stephen Richards

The Economist recently carried an article about the perceived unfairness of increasing the retirement age. The argument is that poorer people have higher mortality rates, which means they get less value from a given pension than richer people: the poor are less likely to survive long enough to receive the pension, and if they do they will draw it for a shorter period of time.

Graduation is the process whereby smooth mortality rates are created from crude mortality rates.  Smoothness is an important part of graduation, but another is the extrapolation of mortality rates to ages at which data may be unreliable or even non-existent.

A basic result in probability theory is that the variance of the sum of two random variables is not necessarily the same as the sum of their variances.

Establishing the capital requirement for longevity trend risk is a thorny problem for insurers with substantial pension or annuity payments.

We have previously shown how survival models based around the force of mortality, μx, have the ability to use more of your data.  We have also seen that attempting to use fractional years of exposure in a qx model can lead to potential mistakes. However, the Poisson distribution also uses μx, so why don't we use a Poisson model for the grouped count of deaths in each cell?

Gavin recently explored the topic of threads and parallel processing.  But what does this mean from a business perspective?

My last posting looked at why actuaries fitted survival models differently to statisticians, even though the conceptual framework for survival models is common to both disciplines.

In an earlier posting I listed some actuarial terms and their statistical equivalents (and later a short list of statistical terms and their equivalents in other fields).

There are several ways of looking at longevity trend risk, as covered in our recent seminar. However, regardless of how you choose to look at this risk, there are some pitfalls to watch out for.

The Society of Actuaries (SOA) in North America recently published an exposure draft of a proposed interim mortality-improvement basis for pension-scheme work.