Stephen Richards

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Articles written by Stephen Richards

An early bath for the bathtub model

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.

06 June 2012 Tags: survival models, mortality, bathtub hazard

Actuarial exceptionalism

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). Using different expressions for the same concept is an unfortunate barrier to understanding across disciplines.

19 May 2012 Tags: survival models, left-truncation

Trend risk and age

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.

12 May 2012 Tags: Solvency II, ICA, longevity trend risk, model risk

The Society of Actuaries (SOA) in North America recently published an exposure draft of a proposed interim mortality-improvement basis for pension-scheme work. The new basis will be called "Scale BB" and is intended as an interim replacement for "Scale AA". Like Scale AA, the interim Scale BB is one-dimensional in age, i.e. mortality improvements vary by age and gender only. However, the SOA is putting North American actuaries on notice that a move to a two-dimensional projection is on the cards:

24 April 2012 Tags: mortality improvements, Scale AA, Scale BB, trend reversal, CMI

Diet? What diet?

A while back I wrote about the lower life expectancy in Scotland. This has a number of drivers, but poor diet is one of them.

08 April 2012 Tags: Scotland, diet

Ahead of his time

I'm giving away rather too much information about my age when I say I started work in 1990 right after graduating from university. Not long into my first job at a UK insurer, I was called to a meeting of the actuarial department.

17 February 2012 Tags: Solvency II, use test, mortality projections

Longevity trend risk under Solvency II

Longevity trend risk is different from most other risks an insurer faces because the risk lies in the long-term trajectory taken by mortality rates. This trend unfolds over many years as an accumulation of small changes.

18 January 2012 Tags: longevity risk, Solvency II, model risk

Why use survival models?

We and our clients much prefer to analyse mortality continuously, rather than in yearly intervals like actuaries used to do in previous centuries. Actuaries normally use μx to denote the continuous force of mortality at age x, and qx to denote the yearly rate of mortality. For any statisticians reading this, μx is the continuous-time hazard rate.

04 January 2012 Tags: survival analysis, survival models, force of mortality, hazard rate

Ahead of the curve

In an earlier post we looked at the implications for savers of the historically low interest rates in the UK. Low interest rates are a policy response to the unusual economic conditions in which the developed world currently finds itself.

20 December 2011 Tags: interest, yield curve

Survival models for actuarial work

The CMI recently asked for an overview note on survival models. Since this subject is of wider actuarial interest, we wanted to make this publically available. An electronic copy can be downloaded from the link on the right.

19 December 2011 Tags: CMI, survival models, mortality